A Mathematician Plays the Stock Market (2003) by John Allen Paulos
This book is a mix of personal anecdotes, psychological tidbits, and mathematical musings about the stock market. The author makes some good points about irrationality in the stock market and why certain pieces of information and strategies are silly or misguided. However, I also think he is wrong on some points, such as the extent to which market movements are random. The book has a somewhat loose organization and meanders from one topic to another, throwing in dull and partly incomprehensible mathematical analyses from time to time.
Note: I read this book in October 2011.