Breakthrough Advertising
[ame=http://www.amazon.com/Breakthrough-Advertising-Shatter-Traditions-Records/dp/0932648541/ref=sr_1_1?s=gateway&ie=UTF8&qid=1285192080&sr=8-1]Amazon.com: Breakthrough Advertising: How to Write Ads That Shatter Traditions and Sales Records (9780932648549): Eugene Schwartz: Gateway[/ame]
The Adweek Copywriting Handbook
[ame=http://www.amazon.com/Adweek-Copywriting-Handbook-Advertising-Copywriters/dp/0470051248/ref=sr_1_1?s=gateway&ie=UTF8&qid=1285192140&sr=8-1]Amazon.com: The Adweek Copywriting Handbook: The Ultimate Guide to Writing Powerful Advertising and Marketing Copy from One of America's Top Copywriters (9780470051245): Joseph Sugarman: Gateway[/ame]
Dan Kennedy's Ultimate Sales Letter
[ame=http://www.amazon.com/Ultimate-Sales-Letter-Attract-Customers/dp/1593374992/ref=sr_1_4?s=gateway&ie=UTF8&qid=1285192183&sr=8-4]Amazon.com: The Ultimate Sales Letter: Attract New Customers. Boost Your Sales (9781593374990): Dan S. Kennedy: Gateway[/ame]
Tested Advertising Methods
[ame=http://www.amazon.com/Advertising-Methods-Prentice-Business-Classics/dp/0130957011/ref=sr_1_1?s=gateway&ie=UTF8&qid=1285192220&sr=8-1]Amazon.com: Tested Advertising Methods (Prentice Hall Business Classics) (9780130957016): John Caples, Fred E. Hahn: Gateway[/ame]
The Robert Collier Letter Book
[ame=http://www.amazon.com/Robert-Collier-Letter-Book/dp/0912576200/ref=sr_1_1?ie=UTF8&s=books&qid=1285192258&sr=8-1-spell]Amazon.com: The Robert Collier Letter Book (9780912576206): Robert Collier: Books[/ame]
Million Dollar Mailings
[ame=http://www.amazon.com/Million-Dollar-Mailings-Dension-Hatch/dp/1566251621/ref=sr_1_1?s=books&ie=UTF8&qid=1285192297&sr=1-1]Amazon.com: Million Dollar Mailings (9781566251624): Dension Hatch: Books[/ame]
Maximum Money With Minimum Customers (It's a great book on both copywriting and marketing strategy)
How To Make Maximum Money With Minimum Customers!
If you're on a budget I'd grab "The Adweek Copywriting Handbook", it's a great primer.
Every other book is definitely worth checking out if you can, and there's a ton of great ones that I didn't include.
-Scott