Debasmit Mohanty, Sr Analyst, Household Credit Services: Data Mining Book
The best book I have come across so far is The Elements of Statistical Learning: Data Mining, Inference, and Prediction by Trevor Hastie, Robert Tibshirani and Jerome Friedman.
It is an advanced book and ideally suited for statisticians doing research in Data Mining.
Robert Dupont: Books
I recommend those books : Data Mining Techniques: For Marketing, Sales, and Customer Support by Michael J. A. Berry, Gordon S. Linoff
Data Mining et Scoring (french) by Stephane Tuffery,
Dunod (Paris) ISBN : 2100065270
Yves Thorrez: Data Mining
I did not count my books on (Multivariate) Statistics...
Tom Mitchell's "Machine Learning" is classic.
"Data Mining" by Witten & Frank and their Weka Project is a logical second on my list. Waiting for the new edition... Would like to see a good book on Text Mining. For this subject, the Web is an invaluable resource.