On: Introduction to Support Vector Machines in Machine...

[nightski]

This should be the top comment, I'm reading his newly released 2nd edition and it is outstanding. Other mentions are -

  - Doing Bayesian Data Analysis (dog book)
  - Student's Guide to Bayesian Statistics

Slightly more advanced

  - Bayesian Data Analysis 3 (currently free! http://www.stat.columbia.edu/~gelman/book/)