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Cyan comments on Bayesian Methods Reading List - Less Wrong Discussion
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Once (generic *)you finish the list (or feel competent at the math-heavy stuff on it, anyway) I recommend reading up on Bayesian nonparametric methods. I'm particularly fond of Gaussian process regression.
I like this source for Bayesian nonparametrics; the disadvantage is that it's mostly scribe notes, but a lot of the referenced papers are well-written and explain important material.