We recommend a book from Stanford University, which can be downloaded from the following site for free. It is a classic and a must-read whether you are a new or advanced practitioner in the field:

The Elements of Statistical Learning, Data Mining, Inference, and Prediction, Second Edition, by Hastie, Tibshirani, and Friedman (2009). Springer-Verlag (http://web.stanford.edu/~hastie/ElemStatLearn/).