Main source:

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

Additional source:

An Introduction to Statistical Learning with Applications in R (Springer Texts in Statistics) by Gareth James, Daniela Witten, Trevor Hastie, and Robert Tibshirani.

• The complete books can be downloaded (pdf) from the above links.
• If you want to buy the hardcover books, they may be ordered from amazon.co.uk for currently, respectively £48.59 and £51.39 (for example, search for 'Statistical Learning').

(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.