Question

I an algebraic geometer, so the book I'm going to propose is about as far from my subject as it can be. Still I think that Steele's book on stochastic calculus is one of the best written mathematical books I know. It really makes you enjoy probability, starting from the simplest examples of random walks and building a lot of theory, like martingales, Brownian motion and Ito's integral. I almost wanted to change my subject when I was reading it! :-)