Seconded. Link to pdf for the lazy: http://www.inference.phy.cam.ac.uk/itprnn/book.pdf.
And to other incarnations: http://www.inference.phy.cam.ac.uk/mackay/itila/book.html.
And to other incarnations: http://www.inference.phy.cam.ac.uk/mackay/itila/book.html.
The title is misleading; the book seems to be mostly about "information" in the colloquial sense, and only peripherally about information theory. For anyone seriously interested in the latter, David Mackay's book Information Theory, Inference, and Learning Algorithms is available online. It's great.