Some more SIAI-related work: looking for examples of costly real-world cognitive biases: http://dl.dropbox.com/u/85192141/bias-examples.page
One of the more interesting sources is Heuer's Psychology of Intelligence Analysis. I recommend it, for the unfamiliar political-military examples if nothing else. (It's also good background reading for understanding the argument diagramming software coming from the intelligence community, not that anyone on LW actually uses them.)
Its been awhile since I read it, but I recall the book Sway being a good source of bias examples.
If it's worth saying, but not worth its own post, even in Discussion, it goes here.