The Elements of Statistical Learning: Data Mining, Inference, and Prediction, Second Edition (Springer Series in Statistics) by Trevor Hastie, Robert Tibshirani, and Jerome Friedman.

• The complete book can be downloaded (pdf) from the above link.
• If you want to buy the hardcover book, it may be ordered from amazon.co.uk for currently £44.09 (for example, search for 'Hastie').

(Course book in an earlier course on Multivariate analysis:)
Johnson, R.A. and Wichern, D.W.: "Applied Multivariate Statistical Analysis".

Hastie, T.J. and Tibshirani, R.J.: "Generalized Additive Models".

ElemStatLearn R-package which inlcudes data sets, functions and examples from the course book.