I'm a big fan of behavioral finance and neuroeconomics, I would have to be when Herb Simon virtually established my alma mater.

One great book I've run into is "Trading and Exchanges: Market Microstructure for Practitioners" by Larry Harris. He's a chaired professor at USC and a former chief economist for the SEC. This book is clearly written and explains exactly what we mean when we speak of liquidity, how auction markets arrange orders and how informed traders use market structure to their advantage. He's also delightfully stark - if you are informed you will profit, if not, you will fail.