I really like "Lie Groups and Lie Algebras" by Kirillov Jr. It's available here for free. It covers a lot of material in a relatively short book, so I recommend it if you're trying to get a good overview of what Lie theory is about.

Fulton and Harris is all right, but I found the book to be too drawn out for its own good. They have a lot of worked out examples, which are good to look at after you've learned the material elsewhere, but they are difficult to follow if you've never seen them before.

I second Ginzburg and Chriss. It's full of tons of interesting stuff.