Depends on your background. For me Chapter 28 about "Model Comparison and Occam's Razor" in MacKay's book was an eye-opener regarding the usefulness of Bayesian

Depends on your background. For me Chapter 28 about "Model Comparison and Occam's Razor" in MacKay's book was an eye-opener regarding the usefulness of Bayesian methods. http://www.inference.phy.cam.ac.uk/itprnn/book.html http://www.inference.phy.cam.ac.uk/itprnn/book.html This book is good if you are interested in information theory and machine learning, but it assumes a basic math and probability background.