UFOs: Generals, Pilots and Government Officials Go on the Record.
Reporter Leslie Keen's meticulously researched and documented report has become the go-to UFO text for the 21st century. If you think UFOs come from the delusional dreams of bored and lonely people with emotional problems, start with this book.
You won't be able to laugh the phenomena off that easily again afterward, I promise.
Approximately $11 USD for large paperback.
Wonders In the Sky by Jacques Vallee & Chris Aubeck
This book chronicles credible UFO sightings and close encounters as described in historical texts and records, going all the way back to thousands of years before the modern era. A must-have for any parapsychological library, this book gives the lie to the notion that the UFO phenomenon started with Kenneth Arnold's sighting in 1946.
Approximately $15 USD for large paperback. http://amzn.to/1jZoR4c
Dimensions: A Casebook of Alien Contact by Jacques Vallee
The first in a trilogy that includes Revelations and Messengers of Deception. Vallee makes a case for considering the premodern roots of alien contact, and for considering explanations outside the ET hypothesis. He also looks at the cloud of deception that is an integral part of the phenomenon, and argues that initial attempts to study UFOs and close encounters miss crucial data by focusing on physical crafts and impeccable witnesses (leaving out the stranger aspects, which Vallee feels may hold the key to understanding.
About $10 USD. http://amzn.to/1np1JvE