I'll second the Oddworld Inhabitants art book. I'm also a big fan of Udon's Art of Capcom The Bioshock artbook that was released in extended format recently is pretty good too.
I don't own many game art books, but I love Capcom Design Works. More generally, one of my favourite concept art/production art books is 'Dream Worlds' by Hans Bacher. A fantastic book to learn from. The Skillful Huntsman book from Design Studio Press is also full of great art and has tons of tips and info as well. I also…
Jackablade : I got both of these too and I second the fact that they are awesomesauce. I got the mass effect, star wars force unleashed (thanks to ~AUSTIN) and assassin's creed ones which are great too...raaah so many cool ones... another really awesome one, by Udon, Okami : the official complete works…