I'll second this recommendation - I bought the printed copy, and I'm constantly going to it for reference. The fact that it's available for free is just an added bonus.

I would also suggest Elements of Statistical Learning: http://www-stat.stanford.edu/~tibs/ElemStatLearn/

As well as Duda, Hart, and Stork's Pattern Classification: http://rii.ricoh.com/~stork/DHS.html

This is a great book, but it's definitely not introductory. I think Segaran's "Programming Collective Intelligence", mentioned above, is the best first bet, primarily because it's fun. And the code is good.