Building Robots With Lego Mindstorms
Mario has written an excellent book on advanced building techniques using Mindstorms.
Extreme Mindstorms: an Advanced Guide to LEGO Mindstorms
A more advanced programming guide: covers BrickOS and pbForth and NQC.
Dave Baum's Definitive Guide to LEGO Mindstorms
One of the first good LEGO Mindstorms books. Well worth a read.
Joe Nagata's Lego Mindstorms Idea Book
Wow - someday I want to be able to build LEGO like this!
LEGO Mindstorms Interfacing
How to interface your RCX to the outside world with sensors and actuators.