And this talk by Charlie Munger on stockpicking and the art of worldly wisdom: http://ycombinator.com/munger.html
The two major mental models which I've found helpful in understanding the market are the Efficient Market Hypothesis (EMH; http://en.wikipedia.org/wiki/Efficient_market_hypothesis) which explains how the market acts under idealized conditions of rationality. Temper this with learning about Behavioral Economics (http://en.wikipedia.org/wiki/Behavioral_economics) which covers issues of human perception and how us semi-rational beings actually act, such as perceiving a loss of $100 as twice as painful as a gain of $100.
The Intelligent Investor by Benjamin Graham is a wonderful book, but reads densely. In more recent editions contains thoughtful side commentary by Jason Zweig which help break up the text and give a more modern perspective. A key idea is the separation between investing and speculation: set aside some percentage of your portfolio for speculating, and experiment with it, but investing for the long-term is the way to go in the absence of something which allows you to escape the financial gravity of the efficient market.
A Random Walk on Wall Street by Burton Malkiel covers efficient market theory thoroughly. The Intelligent Asset Allocator by William Bernstein for approaches to constructing long-term portfolios.
Lots more to say on this issue, but hopefully some of these starting points will get you thinking.