Having read many books/online courses, I strongly recommend this: http://www.amazon.com/Doing-Bayesian-Data-Analysis-Second/dp/0124058884/ http://www.amazon.com

Having read many books/online courses, I strongly recommend this: http://www.amazon.com/Doing-Bayesian-Data-Analysis-Second/dp/0124058884/ http://www.amazon.com/Doing-Bayesian-Data-Analysis-Second/dp... It gives a gentle but through introduction from first principles; lots of good intuition and 'why'. It works well with "Probabilistic Programming & Bayesian Methods for Hackers" also mentioned, but I'd start with this. It is much more accessible than many other introductory books, IMO.