More than a year ago, neighbor-friend-statistician Doug Reingold lent me his copy of E. T. Jaynes's textbook Probability Theory: The Logic of Science. Thick as a brick, it sat by my bed for months until I skimmed bits of it and immediately saw how good it was. Doug has his copy back now and mine has replaced it in the pile. It's still mostly unread, alas, but at least the clock is ticking slower now!
The most interesting parts of the book are its constant focus on foundational aspects. We see far too little of this in our teaching and even less in applications. Jaynes doesn't let us get away without thinking. There are sermons on reality versus models, a whole chapter on paradoxes of probability theory and another on principles and pathologies of orthodox statistics. He is always questioning (and answering his own questions): What does it all mean? Does this make sense?
And Diaconis concludes:
There are many places in which I want to yell at him. He's so full of himself. That's what makes the book so terrific. It's the real thing — the best introduction to Bayesian statistics that I know. Go take a look for yourself.
Good advice, which I promise to take some day (prior probability = 0.8).