The Winner's Curse

In addition to the many fine recommendations already on the thread, I enjoyed Winner's Curse and Irrational Exuberance.

For an overview of mainstream modern econ, if you read nothing else, read Naked Economics by Charles Wheelan. For a good introduction to the major economic schools of thought check out Economics as Religion by Robert Nelson (he has written a new one on the same subject that I haven't yet read). To get into behavioral economics, I'd recommend Predictably Irrational by Dan Ariely and The Winner's Curse by Richard Thaler. Tread carefully, there is a lot of polemic posing as economics on bookstore shelves.