There was post on HN of a blog post link which contained a list of all free machine learning/data mining books. Wondering, if someone can post the link to it. I am unable to find it through search.
If you can afford it (both financially and regarding math background), Bishop is a really great choice. Almost everything you need to know is in it. I have it and just love it!
But he goes quite deep in the mathematical explanations (which is a great point, there is no better way to learn and understand) meaning you have to be willing to work on your math for this book.
Machine Learning: a Probabilistic Perspective, by Murphy
http://www.cs.ubc.ca/~murphyk/MLbook/
Pattern classification, by Duda et all
http://www.amazon.com/Pattern-Classification-Pt-1-Richard-Du...
The Elements of Statistical Learning, by Hastie et all. It is free from Stanford.
http://www-stat.stanford.edu/~tibs/ElemStatLearn
Mining of Massive Datasets, free from Stanford.
http://infolab.stanford.edu/~ullman/mmds.html
Bayesian Reasoning and Machine Learning, by Barber, free available online.
http://web4.cs.ucl.ac.uk/staff/D.Barber/pmwiki/pmwiki.php?n=...
Learning from data, by Abu-Mostafa.
It comes with Caltech video lectures: http://work.caltech.edu/telecourse.html
Pattern Recognition and Machine Learning, by Bischop
http://research.microsoft.com/en-us/um/people/cmbishop/prml/
Also noteworthy
Information Theory, Inference, and Learning Algorithms, by Mackay, free.
http://www.inference.phy.cam.ac.uk/itprnn/book.html
Classification, Parameter Estimation and State Estimation, by van der Heijden.
http://prtools.org
Computer Vision: Models, Learning, and Inference, by Prince, available for free
http://www.computervisionmodels.com/
Probabilistic Graphical Models, by Koller. Has an accompanying course on Coursera.