A great textbook as an intro is by Duda and Hart, Pattern Classification. http://www.amazon.com/Pattern-Classification-2nd-Richard-Dud.... Its pretty well written and gives a good overview of the main techniques. If you want a bit more theory, try Cherkassky and Muller, "Learning from Data".http://www.amazon.com/Learning-Data-Concepts-Theory-Methods/ Has a good overview section on statistical learning theory. And also, take WEKA and just play with it.Its nice to just check what works and what doesn't.