Object-Oriented Software Engineering: Conquering Complex and Changing Systems, Using UML, Patterns, and Java, Bernd Bruegge and Allen H. Dutoit, Prentice-Hall, 2004.
Many SE books tell you about SE (eg., Sommerville). Those kinds of books will hardly impart any skill and will not make you a better software engineer, only more informed. In contrast, this book tells you how to do software engineering. They tell you what, Bruegge shows you how. Rather than cover all the concepts in SE, Bruegge picks the most essential ones, gives you a brief but thorough explication of those and then proceeds to teach how they are used.

Practical Software Engineering: A Case Study Approach, L. Maciaszek, B. L. Liong, Addison Wesley, 864 pages, 2004.

Professional Software Development: Shorter Schedules, Better Projects, Superior Products, Enhanced Careers, Steve McConnel, Addison-Wesley, 2003.

Rapid Development: Taming Wild Software Schedules, Steve McConnell, This is a big book, full of practices for software development. Very thought-provoking - but be sure you need all the mechanisms he recommends. It would be good to have everything here in your bag of tricks, but pull it out only when it's really needed!

Software Project Survival Guide, Steve McConnell, Here Steve is telling new leads everything he thinks they should know about surviving their first project lead situation. There's a lot of good material here, but be warned: Steve is getting into Big Methodology in this one.

Planning Extreme Programming,  Kent Beck, Martin Fowler, The planning and management process of XP.

Extreme Programming Installed, Ron Jeffries, Ann Anderson, Chet Hendrickson Modesty limits what we can say here. Unquestionably, however, this is the finest book so far by these three authors. XP Installed addresses the practical issues of running an XP project. Highly recommended, of course.
 

Adaptive Software Development, James A Highsmith III Is your project just too big or too complex for XP? Check out Jim's excellent book on how to bring lighter methods to large and complex projects.

Debugging the Development Process: Practical Strategies for Staying Focused, Hitting Ship Dates, and Building Solid Teams, Steve Maguire, It's divided into sections by project phases, and has short writeups on key topics.  Good advice on spotting and dealing with trouble.

Software Requirements, Karl Wiegers, 2nd Edition, Microsoft Press, 2003.

Design Patterns: Elements of Reusable Object-Oriented Software, Erich Gamma, Richard Helm, Ralph Johnson, John Vlissides, This is the famous "Gang of Four" book, covering 23 of the key design patterns of object-oriented programming.

Core J2EE Patterns: Best Practices and Design Strategies, Second Edition, D. Alur, J. Crupi, D. Malks, Pearson Education, 650 pages, 2003.

Analysis Patterns: Reusable Object Models, Martin Fowler, This is Martin's excellent book describing a large number of analysis patterns from business.

Code Complete: A Practical Handbook of Software Construction, 2d Ed, Steve McConnel, Microsoft Press, 960 pages, June 2004.

Lessons Learned in Software Testing, Cem Kaner, James Bach, Bret Pettichord, Paperback: 352 pages, John Wiley & Sons, 1st edition, 2001.