Cox, J & Rubinstein, M 1985 Options Markets . Prentice-Hall 

The original option pricing book

Dixit , AK & Pindyck, RS 1994 Investment Under Uncertainty . Princeton  

A technical study of Real Options and investment decisions

Elton, EJ & Gruber, MJ 1995 Modern Portfolio Theory and Investment Analysis . John Wiley  

Easy to read

Haug, EG 1997 The Complete Guide to Option Pricing Formulas . McGraw-Hill 

Unique...invaluable

Hull , J 2002 Options, Futures and Other Derivative Securities . Prentice Hall 

Until recently the market leader ;-)

Ingersoll, JE Jr 2000 Theory of Financial Decision Making . Rowman & Littlefield 

Excellent...very underrated

Jaeckel, P 2002 Monte Carlo Methods in Finance John Wiley

There is no book on the market to compare with Dr Jaeckel's

Jordan , L 2000 Options Plain and Simple FT/Prentice Hall

As Lenny says “ Successful strategies without rocket science”

Malkiel, BG 2003 A Random Walk Down Wall Street . Norton 

Stories from the Street...a must have

Merton, RC 1992 Continuous-time Finance . Blackwell 

A collection of Merton's most important papers

Neftci, S 2000 An Introduction to the Mathematics of Financial Derivatives . Academic Press 

The only readable book on stochastic mathematics

Osband, K 2002 Iceberg Risk Texere

An original and fascinating writer

Rebonato, R 1998 Interest-Rate Option Models . John Wiley and Sons 

Good book on interest rate models, bit difficult to read at times.

Schonbucher, P 2003 Credit Derivatives Pricing Models John Wiley

One of the most talented researchers of his generation

Schwager, JD 1993 Market Wizards . HarperCollins 

Traders' reminiscences Vol 1

Schwager, JD 1994 New Market Wizards . HarperCollins 

Traders' reminiscences Vol 2

Taleb, N 1997 Dynamic Hedging . John Wiley 

Typically Taleb...

Taleb, N 2002 Fooled by Randomness Texere

Thorp, EO 1962 Beat the Dealer . Vintage  

How to win at Blackjack from the man who invented delta hedging and discovered the Black-Scholes formulae

Wilmott, P 2006 Paul Wilmott on Quantitative Finance, Second Edition. John Wiley and Sons 

You'll never need another quant book!

Wilmott, P 2007 Paul Wilmott Introduces Quantitative Finance, Second Edition . John Wiley and Sons 

The student edition of PWOQF . All aspects of classical finance covered, with little pomp and ceremony

Wilmott, P 2006 Frequently Asked Questions in Quantitative Finance. John Wiley and Sons 

Wilmott answers more than 100 questions from students and professionals.

Wilmott, P, Dewynne, JN & Howison , SD 1993 Option Pricing: Mathematical Models and Computation. Oxford Financial Press 

A classic...first of its kind

Wong, S 1981 Professional Blackjack . Pi Yee Press 

More tips on Blackjack...written under a pseudonym