Living the Martial Way by Forrest E. Morgan is excellent. It is helpful for both training purposes and understanding a lot of the philosophy found in many (I would still hesitate to say "all") Martial Arts.
Musashi's Book of Five Rings is fascinating. I am always amazed that a book on Kenjutsu has enjoyed such a cross-discipline popularity, including being used in the business world. I also like that the edition I have has pictures of calligraphy, paintings, sculptures and tsuba that Musashi made. A great example of a man who reached true mastery, imo.
Being as how I'm a Taewon-Doin, I thoroughly recommend Gen. Choi's Encyclopedia of Taekwon-Do. I've got the 15 volume set, as well as his 1972 book and his 1965 book for historical reference. It's very interesting to see many aspects of the art develop over time.
Not a book, but Grand Master Choi, Jung Hwa's Master Class DVD is superb. He covers the color belt patterns and includes commentary on movements that are commonly performed incorrectly or that need greater explanation to understand.
Dave Lowry's Autumn Lightning and Persimmon Wind are both excellent. They are probably my favorites as far as Lowry is actually that most rare of breed: a legitimate martial artist who is also a professional (and highly talented!) writer. If you haven't read them and are interested in descriptions of training, reflections on martial philosophy and history these are must haves.
There are others, of course, but after 23 years of training these are the ones that stick out most in my mind.
Pax,
Chris