I've wondered about this myself and have found that the most common responses usually reference, "The Art of Electonics". Great book, sure, and very heavy on theory. There are a few books out now that touch on the Arduino platform - the Make/O'Reilly site has a few. Additionally, there are a couple of folks using a Sanguino/Arduino for building a rep rap, so it might be a good start. I've found "Electronics - Self Teaching Guide" by Harry Kybett to be a decent introduction to electronics in general. I also picked up "Embedded C Programming and the Atmel AVR" which is regularly recommended for the AVR platform.
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