We know that, in the double slit experiment, observation changes the behavior of a quantum object, that it behaves like a particle when observed and a wave when not observed. But why should its nature depend on observation? What if we didn't exist and hence no observation...? The nature of the quantum objects must remain same, right? Why is it based on observation? Am I trying to understand the wave-particle duality in a wrong way?
This question is still an open question in science. We know that a particle when it is not observed is described by a wave function, that wave function evolves in time. The wave function is described as a superposition of possible states of the particle (called eigen states)
If a measurement was made, the wave function collapses into one of those eigen states which means it becomes well/defined particle with position and momentum.
The collapse of the wave function is still not understood. No body knows what happens exactly. For more information see: http://en.wikipedia.org/wiki/Wave_function_collapse
"The nature of the quantum objects must remain same, right? " Intuition says so but nature has a different opinion, as far as we understand it.
Hopefully that helped!
It seems that you stumbled upon the measurement problem, where if you don't observe or measure a quantum object yet, it moves in all directions.
Its nature depends on observation as if you measure it, it will disturb or interfere with it as you measure it as it changes it's direction to a specific one, the environment it is in will also make it interact with the environment and washes away the behaviour of quantum objects.
So basically, quantum objects that are measured are interfered so that it then changes it's direction to a specific way other than all directions.
Your confusion is perfectly justified. Congrats, you just discovered what is called the measurement problem. There have been several attempts to resolve this problem, most of them based on introducing interpretations of quantum mechanics other than the Copenhagen interpretation (or more concisely standard or orthodox interpretation; the original Copenhagen interpretation is considered unbearable these days). An important role here is played by decoherence which is in part capable to explain the collapse of the quantum state. However, this whole problem is still largely unresolved and there is a lot of research on it right now although the problem has essentially already been raised by Einstein.
The standard interpretation that is taught in schools and universities does not really explain what exactly is to be considered an observation. In fact, Mermin once summarized it with the words
Shut up and calculate
as it is more like a working theory. It helps us make accurate predictions on the behavior of a quantum state without having to consider the interaction of the quantum system with the measurement apparatus which is thought to be the source of the 'collapse'.
If you are interested in the role of decoherence in the solution of the measurement problem and some of the more recent concepts regarding it, I recommend this paper by Schlosshauer.