I've just started Dostoyevsky's short novel The Double. It's the first pre-incarceration Dostoyevsky I've read, and I'm interested to see if I can pick up any differences in his philosophy from the later novels. So far all I've gleaned is that he writes madmen really well.
I really like his description of Petersburg, the setting of the story. He portrays the atmosphere so vividly that Petersburg is almost a character. Two examples:
the gray autumn day, dull and dirty, peeked into his room through the dim window so crossly and with such a sour grimace that Mr. Goliadkin could in no way doubt any longer that he was not in some far-off kingdom but in the city of Petersburg.
the snow, the rain, and all that does not even have a name when blizzard and blackness break loose under the November sky of Petersburg, at one blow suddenly attacked Mr. Goliadkin.
It's interesting to compare this to Crime and Punishment, which is also set in Petersburg, but in a hot, oppressive summer rather than the winter. In both cases the Petersburg weather is instrumental in setting the backdrop for the story, but that backdrop is completely different in each.
 Early in his life, Dostoyevsky was part of some sort of subversive political movement. He was arrested and sentenced to death, then reprieved at the last moment and sentenced to penal servitude in Siberia. The experience changed him dramatically.