I can recommend a few texts such as the Patanjali's Yoga Sutras Hatha Yogha Pradpika Shiva Sutras, Shiva Samhita Srimad Devi Bhagavatam Heart Drops of Dharmakaya - ? Tools for Tantra - Harish Johari Wonders of the Natural Mind - Tenzin Wangyal Sixty Upanishad of the Veda - Paul Deussen Words of My Perfect Teacher - Patrul Rinpoche
I was introduced to Patanjali's Yoga Sutra's recently. Very good stuff!! I also went to a workshop recently where we did a little philosophy, mostly just on the Pratyahara aspect of Patanjali's texts, then we practiced Pratyahara after talking about it. Was very interesting, and effective to discuss the philosophy and then put it into practice right afterwards.
I liked Kundalini Tantra by Swami Satyananda Saraswati Babaji and the 18 Siddha Kriya YogaTradition by Marshall Govindan. and ummmm....... oh! also, Be Here Now by Ram Dass was the first book that exposed the philosophy and it is a book that an advanced yogi had told me he used to read it all the time and that it always taught him something. hrmmm... actually I think I am going to read that now... but yeah for philosophy, I'd check out the Kundalini Tantra book which you can find on-line, but may be difficult to locate in stores(Not in Books-a-Million!!! ) have fun! edit :- for the "jump right in" approach there is the Pratyabhijnahrdayam tr.'d by Jai Dev Singh. This book has a comprehensive introduction which is, I believe, fairly similar to the intro for the Siva Sutras, and touches on topics such as matrka(the concept of reality made of words) and "prakasha-vimarsha-maya"(ulimate reality as a self-manifestation accepting limitation), also can be read on-line here -> http://members.aol.com/trikshaiva/pratyabhijn.html
Be Here Now is a really beautiful book. I have read it at least three times, and you know what, I feel like reading it again right now. I also recommend the Madyatmikavatara by Chandrakirti.