Bollinger On Bollinger Bands, John Bollinger, McGraw Hill, 2001
A complete explanation on how to use Bollinger Bands by their creator.

New Methods for Profit in the Stock Market, Garfield A. Drew, Fraser Publishing, 1955
A survey of the technical scene from the '50s. Packed with great ideas, many of which are still germane.

Technical Analysis of Stock Market Trends, Robert D. Edwards and John Magee, John Magee Inc, fifth edition, 1966
This is the classic upon which many cut their teeth. The fifth edition is the most important, reprinted many times.

Stock Market Logic, Norman Fosback, The Institute for Econometric Research, 1976
A great miscellany of stock-market techniques.

Granville's New Strategy of Daily Stock Market Timing for Maximum Profit, Joseph E. Granville, Prentice Hall, 1976
This is Joe Granville, the wire-house pioneer of technical analysis, at his best.

The Profit Magic of Stock Transaction Timing, J. M. Hurst, Prentice Hall, 1970
Reprinted by Trader's Press, 2000.
The first mention of trading bands/envelopes and an important book on cycles.

Trading Systems and Methods, Perry J. Kaufman, third edition, Wiley, 1998
A good starting point for studying trading systems.

Technical Analysis: The Complete Resource for Financial Market Technicians, Charles Kirkpatrick and Julie Dahlquist, FT Press, 2006
A great introduction to technical analysis.

Behavior of Prices on Wall Street, Arthur A. Merrill, Analysis Press, second edition, 1984
A classic work by one of the great minds in technical analysis. Worth reading for the methodology alone.

The Art of Contrary Thinking, Humphrey B. Neill, The Caxton Printers, fifth edition, 1992
The original book on how and when to part with the crowd.

Technical Trading Systems for Commodities and Stocks, Charles Patel, 1980
Reprinted by Trader's Press, 1998.
A superb collection of technical analysis ideas with virtually no text or testing, just the systems in spreadsheet form.

Technical Analysis and Stock Market Profits, Richard D. Schabacker, FT Pitman Publishing, 1997
Originally written in the '20s and '30s, this book is the foundation for much of what we know as technical analysis today.

The Japanese Chart of Charts, Seiki Shimizu, Tokyo Futures Trading Publishing, 1986
An important work on candlesticks that also covers many other interesting Japanese charting techniques.

New Concepts in Technical Trading Systems, Welles Wilder, Trend Research, 1978
A classic work that introduced many valuable technical indicators and systems.

Winning on Wall Street, Martin Zweig, Warner Books, 1986
One of Wall Street's great analysts shows you how he does it.

The Money Masters and The New Money Masters, John Train, Harper and Row, 1980 and 1989
These books provide in-depth looks at successful professional investors of all stripes. Inspiring to say the least.

Market Wizards and The New Market Wizards, Jack Schwager, New York Institute of Finance, 1989 and 1992
Like John Train's book, these books examine the lives and operations of a number of successful investors and traders. There is always something to learn from the masters.

Reminiscences of a Stock Operator, Edwin Lefèvre, George H. Doran Co., 1923
A classic look at Wall Street through the eyes of a big-time plunger. Said to be the biography of Jesse Livermore, this book is chock full of Wall Street wisdom and a good read as well. For more on Mr. Livermore, see his How to Trade in Stocks. Both of these books have been reprinted by Trader’s Press.

Options as a Strategic Investment, Lawrence McMillan, New York Institute of Finance, fourth edition, 2001
A comprehensive book on options and a must read if you are going to play the game.

The Options Strategy Spectrum, James W. Yates, Richard D. Irwin, 1987
A simply brilliant book on options analysis that almost anyone can read.

Options: Essential Concepts and Strategies, The Options Institute, Business One Irwin, 1990
Start with Elliot Katz's History of Options Chapter.

How to Lie with Statistics, Darrell Huff, 1954, W. W. Norton and Company
A classic book on how numbers can be used to deceive.

Statistical Analysis: An Interdisciplinary Approach to Univariate and Multivariate Analysis, Sam Kash Kachigan, Radius press, 1986
A great book for traders/analysts who want to understand their work in a rigorous manner. Trading is, after all, a numbers game.

Quantitative Techniques for Financial Analysis, Jerome Valentine and Edmund Mennis, The Financial Analysts Research Foundation,1980
The best basic book on quantitative techniques I have seen.

Numbers Guide, The Economist, Wiley, 1997
An easy-to-read, concise guide to numbers and analytical techniques.

The Handbook of Portfolio Mathematics, Ralph Vince, Wiley, 2007
So, you know how to trade, but do you know how much to trade?

Fortune's Formula: The Untold Story of the Scientific Betting System That beat the Casinos and Wall Street, William Poundstone, Douglas & McIntyre, 2005.
A wonderful history of position sizing. A must read.

The Disciplined Trader, Mark Douglas, Prentice Hall, 1990
A classic work on trading psychology.

Extraordinary Popular Delusions and the Madness of Crowds, Charles Mackay, 1841 Reprinted by many companies. The Wiley edition omits the non-financial material and adds "Confusion de Confusiones" by Joseph de la Vega, 1688, worthwhile in-and-of-itself.
A fabulous survey of crowd behavior including accounts of the great manias. Be sure not to miss the non-financial material.