Taleb's work is outstanding, and in addition, West of Wall Street by Barry Haigh, for getting a feel for the thought process on the floor.
Gary Smith's books, Live the Dream, and How I Trade.
The Human Stain, for non-trading fiction, by Phillip Roth.
Anything written by Stephen Hunter.
Waiting for the arrival in the mail of Poker Face of Wall Street, by Aaron Baker.
For options, anything by Charles Cottle, who's classes I took (then forgot so much of through disuse).