The Elements of Statistical Learning together with the online course (<a href="http:&#x2F;&#x2F;www.r-bloggers.com&#x2F;in-depth-introduction-to-machine-learning-in-15-hours-of-expert-videos&#x2F;" rel="nofollow">http:&#x2F;&#x2F;www.r-bloggers.com&#x2F;in-depth-introduction-to-machine-l...</a>) makes for a great introduction.<p>EDIT: Oops I should have said &quot;An Introduction to Statistical Learning with Applications in R&quot; rather than The Elements of Statistical Learning. The Elements book goes into way too much depth to be a good introduction to the subject.