The Guru's guide to Transact SQL
The Guru's guide to SQL Server Architecture and Internals
The Guru's guide to SQL Server Stored Procedures, XML and HTML
Ken Hendserson: Addison Wesley
Ken's Guides to SQL Server are wonderful. Ken is a real practitioner with a wide of experience with commercial databases, and this makes all the difference to this series of books. This is not an anodyne recycling of Microsoft's own technical literature by training 'specialists', this is the real thing. There is no need to worry that this covers the earlier version of SQL Server, v 2000, because what he writes is still relevant. Not only that, but it is written with the easy, confident style of someone who really knows what he is talking about. In truth, it slightly less structured than the editors of his books would have you believe: it is more of an epic struggle of one man with a database system, and there is great joy in following his exploration of the quirks and features of the product.
Ken never seems to be beaten by anything the designers of SQL Server can throw up. The first awkward attempts at XML integration in SQL Server were tackled with Ken with amazing determination, even the famous Stored procedure for processing XML files that required a TEXT parameter (TEXT local variables are not allowed in SQL Server, and neither are assignments to TEXT variables).
Ken will do more than just tell you how to jump over all the hurdles that exist in the race to get SQL Server doing what you want; he actually explains the benefits of jumping over the hurdles.
The most important thing about Ken's style of writing is that it urges you on. One can sit down with his books and enjoy the experience of reading them. They're not like the general bland pap dished out by the IT Book-publishing industry; one can get up-to-date without losing the will to live.
The only downside with the latest volume is that he seems to be becoming rather more accepting of every twist and turn of Microsoft's strategy. Are all the things they do really so clever? Even DTS gets a peon of praise!