Here you can find lists of great Information Theory books are or have been used to teach courses at Stanford.
By: Thomas M. Cover, Joy A. Thomas
By: Robert M. Gray
By: David J. C. MacKay
By: Abbas El Gamal, Young-Han Kim
By: R. Krichevsky
By: Te Sun Han and Kingo Kobayashi
By: Imre Csiszár
By: Nicolo Cesa-Bianchi, Gabor Lugosi
By: Martin J. Wainwright
By: Alexandre B. Tsybakov
By: Stephane Boucheron, Gabor Lugosi, Pascal Massart