I second videolectures as an excellent source. Just listen to the ones you are interested in! One tip I'd offer is to make sure you understand the math of each lecture before moving on. Skip over the maths enough and you'll find you haven't truly learned much.

However, in terms of books I would add Elements of Statistical Learning (Hastie, Tibshirani, and Friedman). It is an excellent text that covers a lot of ground. The down side of this of course is that it is written at the graduate level, so be prepared.