Extreme Programming Explained: Embrace Change (0201616416) by Kent Beck is the original book on XP by the man who invented it. Still the best overview.

Extreme Programming Installed (0201708426) by Ron Jeffries, Ann Anderson, Chet Hendrickson, Kent Beck is more detailed, and will help you learn to do it.

Planning Extreme Programming (0201710919) by Kent Beck, Martin Fowler concentrates on the Planning Game.

Refactoring: Improving the Design of Existing Code (0201485672) by Martin Fowler is a necessary resource if you're going to Refactor Mercilessly.

Extreme Programming Applied: Playing to Win (0201616408) by Ken Auer, Roy Miller is a practical book with some slightly different points of view.

Agile Software Development (0201699699) by Alistair Cockburn is a really cool book about the people aspects of software development. It goes really deep. It's not an XP book, by the way.

Java Tools for Extreme Programming: Mastering Open Source Tools Including Ant, JUnit, and Cactus (047120708X) by Richard Hightower, Nicholas Lesiecki is more about the tools than it is about Extreme Programming, but that's certainly not a condemnation of the book.

EJB Design Patterns: Advanced Patterns, Processes, and Idioms (0471208310) by Floyd Marinescu is the book on EJB design patterns. Much more in-depth than that published by Sun's engineers.

Patterns of Enterprise Application Architecture (0321127420) by Martin Fowler, et. al. If you're building distributed, persistent systems, this is the book to read first.