Joshua D. Angrist, Jorn-Steffen Pischke - Mostly Harmless Econometrics: An Empiricist's Companion

This pathbreaking book is a must-read for any scientist who is interested in formulating and testing hypotheses about the social world. This includes political scientists, sociologists, historians, geographers, and anthropologists. The book is clever and funny, and guides you through the tangle of problems that confront empirical research in social science. I wish I had had it years ago.
(James Robinson, Harvard University)