Extreme Programming Explained: Embrace Change (0201616416) by Kent Beck
This is the original book on XP by the man who invented it. Still the best description and overview.
Extreme Programming Installed (0201708426) by Ron Jeffries, Ann Anderson, Chet Hendrickson, Kent Beck
This is more detailed about the practices than Explained, and will help you learn to do it.
Planning Extreme Programming (0201710919) by Kent Beck, Martin Fowler
This book concentrates on the Planning Game.
Refactoring: Improving the Design of Existing Code (0201485672) by Martin Fowler
A necessary resource if you're going to RefactorMercilessly.
Extreme Programming Applied: Playing to Win (0201616408) by Ken Auer, Roy Miller
A practical book with some slightly different points of view. I really like this book as it walks through some encounters with real customers.
Agile Software Development (0201699699) by Alistair Cockburn
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
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
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.