There are three books which I strongly recommend to anyone as introductions to bias research:
Sutherland has a gift for summarising experimental research in an understandable way, and applying its lessons to many aspects of our society.
A bias researcher surveys ways in which reasoning can go wrong, with chapters applying bias research to interpersonal relations, alternative health and parapsychology.
In the course of discussing why people are bad at predicting what will make them happy, psychologist Gilbert introduces a wide range of other cognitive biases.
There are several other books which introduce bias, and are very valuable as introductions to the subject, but not as much as the above two in my opinion:
Inspired by the same academic work as Sutherland, this book stresses how biases resemble optical illusions. It's very good for what it covers, but isn't as comprehensive as Sutherland.
This covers a lot of different categories of bias, not as well written as Sutherland or Gilovich but more up-to-date and hence with some more recent experiments.
As that brilliant title suggests, the focus of this book is on self-serving biases: how we unconsciously manipulate our own memories or perceptions to filter out the bad consequences of our decisions. It applies that research to a really impressive range of real-life situations.
An active (and very likeable) researcher takes readers on a tour through some bias research. Not a systematic review by any means, but Ariely shows how the economic idea of people as rational agents is undermined by bias research.
Textbook treatment of a range of research on what factors make someone comply with another's wishes. As with the Ariely book, this is one researcher writing mainly about his own research (and that of his colleagues), but it's all the more personal and engaging for that.
Ori Brafman and Rom Brafman (2008) Sway: The Irresistible Pull of Irrational Behaviour. Doubleday
If you've wondering why the references here are so similar to those on WikiPedia, it's because I've copied content from this site to WikiPedia, not vice versa.
A note about popular books like the above: their function is usually to present conclusions from the best, most well-replicated research. They don't show you bad research or look deeply into controversies. Hence they are not so useful in learning how to be a psychologist, but they each give you an excellent overview of a large amount of research.
These aren't primarily about bias, but apply bias research to specific areas.
Nassim Nicholas Taleb (2005) Fooled by Randomness: The Hidden Role of Chance in Life and the Markets (Second Edition) Random House/ Penguin
Not an introduction to cognitive biases, but an application of some of the science to a specific domain, namely financial markets
Malcolm Gladwell (2005) Blink: The Power of Thinking Without Thinking (Google Books info)
A very readable popularisation of the science of intuitive judgement and some of its pitfalls, including the effects of stereotypes.
Richard Wiseman (2007) Quirkology: The Curious Science of Everyday Lives (Google Books info)
A round-up of odd and unusual psychological research, presented as 'quirky' but with some important results on stereotypes, halo effects and other biases.
Ben Goldacre (2008) Bad Science
Written by a medical doctor, Bad Science shows how we can use scientific thinking to protect ourselves from useless or dangerous health fads and scams. One chapter surveys bias research to explain how worthless ideas get so widely accepted.
Leon Festinger et al. (1956) When Prophecy Fails
A report of how a group of psychologists infiltrated a UFO cult to see how they would react to the falsification of their prophecy. Recently reprinted in the UK. (WikiPedia entry)
Noah Goldstein et al. (2007) Yes! 50 secrets from the science of persuasion
Round-up of persuasion research for business managers and marketers
Richard Thaler and Cass Sunstein (2008) Nudge: Improving Decisions about Health, Wealth, and Happiness (Google Books info)
Highly influential book about applications of bias research in public policy
Stuart A. Vyse (1997) Believing in Magic: The psychology of superstition. Oxford University Press. ISBN: 0195136349 (Google Books info)
Applying a range of insights from psychology to understand why human beings are superstitious
Elliot Aronson (Ed.)(1999) Readings About The Social Animal, Eighth edition. New York: Worth
A great source of classic research papers on social pressure, cognitive dissonance, social perception and the biases that make it hard for people to get along.
Mark D. Alicke, Joachim I. Krueger and David A. Dunning (Eds.)(2005) The Self in Social Judgment. Psychology Press
Detailed reviews of the literature on a number of biases
Jonathan Baron (1994) Thinking and Deciding Cambridge: Cambridge University Press
Outstanding in its breadth and depth and bringing together a great mass of psychological research along with economic and philosophical theory, this is a definitive textbook on human reasoning, how it can go wrong and how we can improve it.
Kahneman D., Slovic P., and Tversky, A. (Eds.) (1982) Judgment Under Uncertainty: Heuristics and Biases. New York: Cambridge University Press
This is the definitive scholarly resource on the heuristics and biases research programme, which deals mainly with the "cold" biases in reasoning and decision-making.
Daniel Kahneman and Amos Tversky (Eds.)(2000) Choices, Values and Frames Cambridge: Cambridge University Press
Reid Hastie and Robyn M. Dawes (2001) Rational Choice in an Uncertain World: The Psychology of Judgment and Decision Making. Thousand Oaks: Sage Publications
Thomas Gilovich, Dale Griffin, and Daniel Kahneman (Eds.)(2002) Heuristics and Biases: The Psychology of Intuitive Judgement. Cambridge: Cambridge University Press
A collection of papers reporting on developments in heuristics and biases research.
Rüdiger F. Pohl (Ed.)(2004) Cognitive Illusions: A Handbook on Fallacies and Biases In Thinking, Judgement and Memory. Psychology Press. ISBN 1841693510 (Google preview)
David L. Hamilton (Ed.)(2005) Social Cognition: Key Readings. Psychology Press. ISBN 0863775918
A useful collection of research papers (some abridged for this publication) on how we perceive other people and ourselves.
J. Richard Eiser and J. van der Pilgt (1988) Attitudes and Decisions London: Routledge
Somewhat out of date but a good introduction for psychology students
Ziva Kunda (1990) "The Case for Motivated Reasoning" (Full text PDF) Psychological Bulletin Vol. 108, No. 3, 480-498
This review article covers the relation between motivation and belief in a similar way to my thesis, arguing that both biased and accurate thinking responds to motivation. It summarises evidence for many instances of value-biased reasoning.
Hoorens, V (1993) "Self-enhancement and Superiority Biases in Social Comparison" in European Review of Social Psychology 4, Ed. W. Stroebe and Miles Hewstone, Wiley
Anthony Greenwald (1980) "The Totalitarian Ego: Fabrication and Revision of Personal History" American Psychologist, Vol. 35, No. 7
Probably superseded by more recent research on memory and self-enhancement, but significant for drawing the analogy between memory biases and the suppression of unfavourable information in totalitarian societies.
Emily Balcetis and David Dunning (2006) "See what you want to see: motivational influences on visual perception". Journal of Personality and Social Psychology Vol. 91 No. 4. 612-25.
Robert J. MacCoun (1998) "Biases in the Interpretation and Use of Research Results". Annual Review of Psychology, Vol 49.
John P. A. Ioannidis (2005) "Why Most Published Research Findings Are False" (Full Text HTML) PLoS Medicine 2(8) e124
With probability mathematics, connects the statistical significance of a research result, its prior probability, the actual probability of being true, and the bias of the researchers.
Introduces the notion of the "Proteus Phenomenon", i.e. reverberating positive and negative results. Proposes that bias can be measured by effect size.