One of my favorite books period, let alone baseball, hasn't been mentioned here yet.
A Game of Inches by Peter Morris.
If you're like me people you know will buy you baseball trivia books that claim to have knowledge of firsts and facts, and when you're a big fan of historical baseball, there may be 2-3 things you didn't know. The other 70 chapters are items that you've read before. Moses Fleetwood Walker, the 1899 Spiders, Jim Creighton, home run champions before the Babe like Lip Pike, Roger Connor, etc.
A Game of Inches just blew me away. Morris takes just about everything in the history of baseball, even things you think so basic (tagging players, foul ground, pitchers trying to get batters out, running the bases counterclockwise) and presents scholarly, annotated research on everything.
I was astounded when I first read it and I'm still astounded at the work and care that went into this. This is a book where baseball-know-it-alls can read it and genuinely learn new and non-trivial things about the game they love and every page.
Go to Amazon and look it up. Check out the table of contents and you can see all the topics he researched. As I intimated before he doesn't just make guesses or suppose things. He must have combed thousands of newspapers and books to research the two books (which were combined into one edition in 2010).
Other ones that I love that have (or may have) been mentioned before:
The Bill James Historical Abstract and New Historical Abstract
Bill James Whatever Happened to the Hall of Fame?
Bill James Guide to Baseball Managers
(all collections of essays by James - nearly all of James essays are worth reading if you can get his other works like the yearly Abstracts he published)
Green Cathedrals
Early Innings: A Documentary History of Baseball, 1825-1908
The Numbers Game by Alan Schwarz (a history of baseball statistics)
Strat-O-Matic Fanatics by Glenn Guzzo (a history of Strat-O-Matic baseball)