My favorite olympiad books were
"Winning Solutions" by Edward Lozansky and Cecil Rousseau
"Mathematical Miniatures" by Svetoslav Savchev and Titu Andreescu
"Geometry Unbound" by Kiran Kedlaya [online notes]
"Geometry Revisited" H. S. M. Coxeter and Samuel L. Greitzer
Notes by Po-Shen Loh http://www.math.cmu.edu/~ploh/olympiad.shtml
