As a first step, I suggest Dennis Lindley's Understanding Uncertainty. It's written for the layperson, so there's not much in the way of mathematical detail, but it is very good for clarifying the basic concepts, and covers some surprisingly sophisticated topics.

ETA: Ah, I didn't notice that Benito had already recommended this book. Well, consider this a second opinion then.

Open thread, January 25- February 1

by NancyLebovitz 1 min read25th Jan 2014318 comments

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If it's worth saying, but not worth its own post (even in Discussion), then it goes here.