I recommend the three following volumes to anyone who religiously ascribes to the "modern financial models" (MPT, CAP-M, Black-Scholes, to hit the high points). All three demonstrate the weakness of the inherent fundamental assumptions, particularly normality. Any hopes that geeks armed with these models can "make money" or "beat the market" should be put directly out of mind. The models the geeks use are far more complicated, attempting in various idiosyncratic ways to compensate for the broad generalizations implicit in the textbook models.
Taleb. 2007. The Black Swan. Random House.
Mandelbrot & Hudson. 2004. The (Mis)Behavior of Markets. Basic.
Lowenstein. 2000. When Genius Failed. Random House.
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I've been wanting to read that for a while. I think the newest edition of "A Random Walk .. " by Malkiel is also helpful, as recommended to me originally by Steve, if I remember correctly.
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