I consider the following to be the best of the greater than 100 trading books that I have read over the years. I have written a few words about why each is important to me.
Secrets For Profiting in Bull and Bear Markets by Stan Weinstein
Uniquely among the books listed here, I read this only one time, fifteen years ago. I usually dip in to each of the other books at least once per year. That said, this is a book I value greatly as it taught me some very important lessons, namely that (1) money can be made in both bull and bear markets, (2) therefore there is no reason to be scared of bear markets, in fact they are a great opportunity, (3) if a market is above the 40 week moving average, you'd best be looking long, and (4) if a market is below the 40 week moving average, you'd best be looking short.
Reminiscences of a Stock Operator by Edwin Lefevre
A ripping yarn, a great read. A thinly disguised biography of Jesse Livermore, one of the great speculators of the early 20th century, it offers unsurpassed insight in to the workings of a trader's mind. It also offers the warning that no matter how brilliant your market analysis, and how wise your knowledge of trader psychology, if you don't pay attention to money management, you will not make a lasting fortune as a trader. I read this book each year during my summer holidays, it's greatly enjoyable, gives my enthusiasm for trading a huge boost, and it helps fine tune my trading mind ahead of the new trading year.
Market Wizards: Interviews with Top Traders by Jack D. Schwager
In a similar vein to Reminiscences, this book offers many insights in to the minds of great traders. In addition to that, the theme I took from it when I read it in my early years of trading, is that there are as many different ways to succeed at trading as there are traders. Each would be trader needs to find the trading plan that works for them. Even funnymentals whoops I mean fundamental analysis can work for some people, although for me it will always make as much sense as dancing about architecture. Wierd. But hey, whatever works for you, go with it. This is another summer holiday book for me, or one to read whenever I have had a bad run. Truly inspirational.
How I Made $2,000,000 in the Stock Market by Nicolas Darvas
The first edition of this book was written in 1960, back when 2 million US dollars bought a lot more than it does today. It is the story of Nick Darvas, a professional dancer, a real character and thinker whose nature shines through in his writing. He describes how he developed a simple system to allow him to trade stocks while on the road touring the world, only able to look at market quotes for a few minutes per day at most. The system itself has many elements which could still be applied profitably today, but the more important key themes for me are that (1) profitable trading systems can be simple, (2) profitable trading systems must suit the personality and circumstance of the trader, and (3) it is not necessary to be "close to the market" or to be across every fluctuation in market data to be a profitable trader, in fact these things can hurt a trader's performance.
Diary of a Professional Commodity Trader: Lessons from 21 Weeks of Real Trading by Peter L. Brandt
Peter Brandt's average annual rate of return was 68% between 1981 and when this book was published in 2011. The book shows you the building blocks of his trading plan and methods, and then shows you a diary of his trading for 21 weeks starting late in 2009. This book resonates strongly with me, because the author's trade entry signals are taken from simple classical charting patterns. However, as this book states, trade entry signals are at most 10% of a trading plan. This book focuses largely on the other 90% of the effort involved in trading, and is as honest, genuine, and insightful an account as I can imagine reading of one man's version of the trading process.
Trading In The Zone: Master the Market with Confidence, Discipline, and a Winning Attitude by Mark Douglas
The market continuously generates information about which way it will move next, but most people miss the signals unless those signals agree with their existing assumptions and biases. This book is about preparing your mind so that you can see all the signals that the market is sending you, and act on those signals without fear or greed getting in the way. It is not an easy read, quite verbose, and requires a lot of self reflection if the reader is going to make the best use of it. I think it is worth the effort, and I turn to this book whenever my trading psychology needs a tweak.
Elliott Wave Principle: Key to Market Behaviour by Frost and Prechter
Unique on this list as a book that deals only with markets and not with trading, this is the definitive textbook on the Elliott Wave (EW) Principle, which itself provides a model to describe the fundamental nature of markets. Very briefly, financial markets are fractal in nature ie. they undergo periods of growth alternating with non-growth or decline, building in to self-similar patterns of increasing size. For mine the most valuable facets of EW are that (1) it provides a language to describe exactly where a market is within its fractal pattern, (2) it is built on the essential fact that markets are probabilistic, that nothing is ever certain, and (3) it is a remarkable tool for market forecasting. (2) and (3) are admittedly paradoxical, but then so is much else in markets and trading.
I have provided links to amazon.com simply to make it easy to see more details on the books, not as a recommendation to buy from them. Likely you already have a favoured book store.