I recently ordered two books from amazon. The first is Ultimate Game Programming with DirectX. and Game Programming Gems 8. Some time late September or early October I will be interviewing for an internship with the Microsoft Game Studio. My goal is to get to an intermediate skill level with DirectX 10, and HLSL 4.0 so that I can be prepared for the interview process.
So far the "Ultimate Game Programming with DirectX" book has been quite good, with very good explanations. The Game Programming Gems book has been quite technical, and a little over my head, but I expect by the time I'm done with the DirectX book, I should be able to make use of the Gems.