• Breakthrough Advertising
  Gene Schwartz
  Boardroom, Inc.
• How to Write a Good Advertisement
  Victor O. Schwab
  Melvin Powers Wilshire Book Company
  North Hollywood, CA
  (Amazon.com)
• My Life in Advertising
• Scientific Advertising
  Claude C. Hopkins
  NTC Business Books
  Chicago, IL
  (Amazon.com)
• Reality in Advertising
  Rosser Reeves
  Alfred A. Knopf
  (Amazon.com)
• The Robert Collier Letter Book
  Robert Collier Publications, Inc.
  Oak Harbor, Washington
  (robertcollierletterbooks.com)
• Ogilvy on Advertising
  Vintage Books
  New York, NY
  (Amazon.com)
• Positioning: The Battle for Your Mind
  Al Ries & Jack Trout
  McGraw Hill
  New York, NY
  (Amazon.com)
• Reason-Why Advertising
• Intensive Advertising
• How Shall We Know Good Copy?
  John E. Kennedy
  (101publicrelations.com)
• Tested Advertising Methods
  John Caples
  Prentice Hall
  Paramus, NJ
  (Amazon.com)
• Common Sense Direct & Digital Marketing
• How to Write Sales Letters That Sell
  Drayton Bird
  Kogan Page
  (Amazon.com)

For anyone looking for a solid grounding in the nuts and bolts side of direct response, I also recommend:

• Successful Direct Marketing Methods
  Bob Stone
  McGraw-Hill
  (Amazon.com)

And for tremendous insights on the inner workings of the human mind, I like:

• Looking Out for #1
  Robert J. Ringer
  (Amazon.com)
• PsychoCybernetics
  Maxwell Maltz
  Pocket Books
  (Amazon.com)