I really like "Lie Groups and Lie Algebras" by Kirillov Jr. It's available [here](http://www.math.sunysb.edu/~kirillov/liegroups/liegroups.pdf) 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.