Anything by Itzik Ben-Gan and Kalen Delaney are good ones. The link below has many book reviews, depending on what you want to do (there is one for .NET programming with SQL). There are also some very good industry magazines (SQL Server Magazine is one). Also, any of the many SQL websites (especially this one) can provide a wealth of information, particularly when stuck on some code or other database issues.
-- You can't be late until you show up.