A couple from my list:
45 Master Characters by Victoria Schmidt - Great information on character building and different roles characters can play in a story. Although it is geared for fiction writing, I've found it very useful in games I've run.
Damnation City by Will Hindmarch (Developer) - While there is a lot of text focused on running Vampire: the Requiem, the rest of the book is geared towards building a city setting for modern horror (I'm currently using the sample city in my modern occult game). Ideas for creating flavorful districts and interesting denizens of a city (ranging from bored cab drivers to lost tourists), with maps and all around great material.
Cathedral, Forge and Waterwheel by Frank & Joseph Gies - A history of medieval technology guide. This book is great for "dark ages" and many fantasy games for a look at how stuff worked in a medieval world.
Hobby Games: The 100 Best by James Lowder (Editor) - Full of essays by a variety of game designers talking about their favorite games and explaining why they are great. The catch is that none of them were allowed to talk about games they worked on.
Element Encyclopedia of Magical Creatures by John & Caitlin Mathews - A guidebook to creatures of myth & legend from various cultures around the world. I've used it to add flavor to monsters in fantasy games, introduce lore to modern occult stories and even found a few creatures for my Scion game. We've got a review of it up at Flames Rising if anyone is interested.
So, what's on your list?