I've just finished reading The Long and the Short of it: A Guide to Finance and Investment for Normally Intelligent People Who Aren't in the Industry by John Kay. Of all the investment books I've read recently it's a star performer. why?
Like any book in this area it gives a background to investing and the process - which has been handled very well. It covers the efficient market debate quite well, and gives a very good insight into the CAPM (capital asset pricing model) and SEU (subjective expected utility). There are points where I felt it could have done with some more charts/illustration, but on the whole its an easy enough read.
The reason it's a star performer is simple: it's shows you why & how you can outperform the big trading shops, traders and analysts (specifically that they have to target short-term results). The coverage of how to put together a portfolio based on overall low risk (from having uncorrelated risky investment), rather than the classic "perceived" low-risk portfolio (from selecting correlated low risk investments) is very enlightening.
So well worth a read and deserves a place on any investors book shelf...