What a remarkably diverse set of replies.
I was very pleased with Maria Velosa's book, Web Copy That Sells. I think it takes a large body of knowledge to fully develop yourself. I am a complete beginner, just really learning to understand the fundamentals. You don't get a masters degree taking one course.
I have read and would recommend the following:
Paper Books
The Ultimate Sales Letter by Dan Kennedy
The Ultimate Marketing Plan by Dan Kennedy
Web Copy That Sells by Maria Velosa
Tested Advertising Methods by John Caples
Words That Sell (more of a deskside reference book)
The Copywriter's Handbook: A Step-by-Step Guide to Writing Copy That Sells by Robert W. Bly
Gary Halberts Letters
Bary Halberts Motherload Swipefile
Ebooks
Everything written by Bryan Kumar at
Bryan Kumar - About Secrets
Everything I could find by Joe Vitale
Confessions of a Website Copywriter by Lenny Eng (Best $27 you can spend. Michel just sent an email promo about this book)
Winning Website Sales Letters by Boduch
What I'm looking for is a good deal on "Advertising Magic" by Brian Keith Voiles. I've heard lots of great things about it.