Even if you're not doing medical research,  I like a lot about
Spiegelhalter's book:
http://www.amazon.com/Bayesian-Approaches-Health-Care-Evaluation-Statistics/dp/0471499757/ref=sr_1_1?ie=UTF8&qid=1327112075&sr=8-1

For interacting with R and JAGS/BUGS my two favorite books that cover theory
are Carlin & Louis and the 2nd half of Gelman & Hill.
http://www.amazon.com/Bayesian-Methods-Analysis-Chapman-Statistical/dp/1584886978
http://www.amazon.com/Analysis-Regression-Multilevel-Hierarchical-Models/dp/052168689X

If you have a handle on the theory, Jim Ablert's book (previously mentioned
by Rich Shepard) is fun.

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