1] The telephone book, er, that is, MTW, Meisner, Thorne and Wheeler. 
The "bible". W. H. Freeman & Co., San Francisco 1973

2] Robert M. Wald, Space, Time, and Gravity : the Theory of the Big Bang
   and Black Holes.
A good nontechnical introduction, with a nice mix of mathematical 
rigor and comprehensible physics. 

3] Schutz: First Course in General Relativity.

4] Weinberg: Gravitation and Cosmology 
Good reference book, but not a very good read.

5] Hans Ohanian: Gravitation & Spacetime (recently back in print)
For someone who actually wants to learn to work problems, ideal
for self-teaching, and math is introduced as needed, rather than
in a colossal blast.

6] Robert Wald, General Relativity
It's a more advanced textbook than Wald's earlier book, appropriate
for an introductory graduate course in GR.  It strikes just the right
balance, in my opinion, between mathematical rigor and physical
intuition.  It has great mathematics appendices for those who care
about proving theorems carefully, and a good introduction to the
problems behind quantum gravity (although not to their solutions).
I think it's MUCH better than either MTW or Weinberg.

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