Understanding Uncertainty
I meant to mention the new book by Dennis Lindley,Understanting Uncertainty.This is the best book I have read so far on bayesian statistics.
Dennis Lindley has played a leading role in putting Bayesian statistics back on the modern statistical map. He has published over 100 original and significant scholarly articles, as well as several books, that are all delightfully written and full of insights. He is a founding organizer and former president of the celebrated Valencia International Meetings on Bayesian Statistics, the 2002 meeting of which was dedicated in his honor.