"The first principle is that you must not fool yourself--and you are the easiest person to fool."--physicist Richard Feynman
It may be a bit premature to recommend this book yet since I just started reading it, but I'm loving Michael Shermer's "The Believing Brain." Shermer, the publisher of Skeptic magazine, has spent decades studying and writing about how we form beliefs, how we hold onto those beliefs whether they are accurate or not, and how those beliefs can lead us astray. He considers this book to be his magnum opus, the culmination of all the work he has done to date.
Shermer starts with a discussion of two innate human tendencies that he has coined "patternicity," the bias toward seeing patterns whether they exist or not, and "agenticity," the tendency to assign the intention of an active agent to phenomena whether it exists or not. He then explores a number of other biases of the brain, such as an anchoring bias, a confirmation bias, and an authority bias and shows how they can cause us to misperceive the world.
Wisdom traditions from time immemorial have told us that we tend to be deluded in our perception of the world, but that there are practices available to help us see through those illusions. Shermer does a nice job at providing modern (and more-rigorous) explanations for the obstacles to our ability to see clearly and provides excellent tools for breaking through those obstacles.
For a taste of "The Believing Brain," go to: http://www.scientificamerican.com/article.cfm?id=the-believing-brain.