So... recommendations for all the major books.
I can go into the strengths and weaknesses of each (I'm kind of a packrat...) but you haven't said anything about yourself or what you're looking for. If you really don't know what you're looking for you should just do what the majority of people here would tell you to do and get CLRS. It's not an accident that these are popular textbooks or that CLRS is the most popular.
(I didn't really mean to recommend Sedgwick's stuff. As I said, I just think it's not bad.)
I used Aho, Hopcroft, and Ullman's two Algorithms books in class. They are old but extremely good. If you want to buy dead tree books they're available used for a very low price.
Hope that helps.