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Dr_Manhattan comments on The Best Textbooks on Every Subject - Less Wrong
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Feller is very good, though I haven't even finished vol1. I also like Tijms for real beginners - easy and fun, good examples. http://www.amazon.com/Understanding-Probability-Chance-Rules-Everyday/dp/0521701724/ref=sr_1_1?ie=UTF8&qid=1296163232&sr=8-1