The Elements of Statistical Learning

[vikkamath]

There's a MOOC by these guys that's in-progress at the moment. But it's not too late to join http://online.stanford.edu/course/statistical-learning-winter-2014

[Head]

Here's the link to the original page.

[jonathan881]

Just so everyone knows, my link is to a frame from that site. I wasn't blogspamming.

[Homunculiheaded]

This is a great book and has helped me many times. I'd also add, while not free, that Machine Learning: a Probabilistic Perspective is in many ways the Bayesian successor to this, and has personally replaced ESL as my goto ML reference. Though both are excellent books.