A few books I'd recommend:

• Richard Evans "In Defence of History" (2012)

This one is a defense of traditional methodology against postmodern critique, as well as how historians can learn and use the ideas of postmodernism.

• E. H. Carr, "What is History?" (1986)

• Hayden White, "The Burden of History" (1966)

A key text that argues that history should mediate between the arts and the sciences and be more interdisciplinarity. Quite influential in the shift from thinking about history as a "science" of the past, a narrative of what happened, towards looking at history as more of an art or one of the hummanities.

• Marc Bloch "The Historians Craft" (1953)

A bit older this one. Bloch was a founding figure in the Annales school of history, popular in pre and post war France. Bloch wrote this between 1941 and 1942 before he was killed by German troops in World War Two. It's generally a statement on what he feels history should be and what the historian should do.

• Herbert Butterfield "The Whig Interpretation of History" (1931)

An even older one, but it's still a deliciously well written and witty critique of whig history and everything that's wrong with it. Many of its ideas of thinking about the past are still very interesting.

• Pamela Kyle Crossley, What is "Global History" (2008)
• Jürgen Osterhammel & Niels P. Petersson, "Globalization: A Short History" Translated by Dona Geye (2009)

Good introductions to everything that's interesting about Global History, a relatively new approach. Which aims to decentre history from studying Europe and look at exchanges and encounters between people across the world from different societies.

There are a lot of different books and articles that cover very different approaches to studying history, so let me know if there's a specific approach you were looking for and I can try to help.