Thanks. Will check them out.
Actually I am looking for a book that will ease me into Stochastic Calculus, seeing how it is so unintuitive. I hope to get a well written book for beginners.
Looked through Feller. The book is unfortunately, without diagrams, and often I get lost by the notations. I am progressing painstakingly slow on the chapter on Random Walks.
Galactus I am sure those books are really good (and one can learn a lot) but they are more Problem Solving books, I imagine the poster wants something that will be more advanced (as in closer to college level). The probability book I am using this semester is Probability: A First Course. Despite its name it is sufficiently advacned and requires the reader to know Calculus III.
Almost, I mean
Amazon.com: First Course in Probability, A (7th Edition): Books: Sheldon Ross
That is the book I am using at college in my probability course. It gets bad ratings (3 stars) probably because it has a name "A first course" and people who buy this book are not necessary mathematicians and therefore find it too hard. But if you know enough math it is really not as bad as people think of it. It has so many examples and excercises. I never seen a book with so many examples and excercises before.
Rossís books are first class and up-to-date, after all Ross is at Berkley.
His book Probability Models is on a higher (graduate) level.
There is a wonderful text free and down-loadable written by Lauie Snell at Dartmouth.
Very readable, @Chance Welcome Page