For a "canonical" list of references you might consult <A HREF="http://www.andersonlocalization.com/canonal50.php#Mathematical_proof_of_Anderson">50 Years of Anderson Localization</A>. In addition to the <A HREF="http://www.researchgate.net/publication/227014761_Localization_at_large_disorder_and_at_extreme_energies_An_elementary_derivations">Aizenman-Molchanov</A> paper mentioned by Christian Remling,  the earlier <A HREF="http://projecteuclid.org/download/pdf_1/euclid.cmp/1103922279">Fröhlich-Spencer</A> work was also quite influential.

A recent overview of the <A HREF="http://arxiv.org/abs/1104.2317">mathematics of Anderson localization</A> is given by Günter Stolz:

> We give a widely self-contained introduction to the mathematical
> theory of the Anderson model. After defining the Anderson model and
> determining its almost sure spectrum, we prove localization properties
> of the model. Here we discuss spectral as well as dynamical
> localization and provide proofs based on the fractional moments (or
> Aizenman-Molchanov) method. We also discuss, in less self-contained
> form, the extension of the fractional moment method to the continuum
> Anderson model. Finally, we mention major open problems.
>
>We do not aim at the most general known results, but rather want to demonstrate that simple and natural mathematical ideas can be used to rigorously establish Anderson localization.