Data Mining: Practical Machine Learning Tools and Techniques (Second Edition)
Which goes nicely with the Weka open source ML toolkit
(although it is a good read without the toolkit)
If you want a bit more math, I really like the recent (Oct 2007) book:
Pattern Recognition and Machine Learning
by Christopher M. Bishop
It is nicely self contained, going through all the stats you'll need.
If you're interested in introductory data mining stuff, I would recommend Tan's Introduction to Data Mining: http://www-users.cs.umn.edu/~kumar/dmbook/index.php