This post is divided into two sections.  The first section represents my personal "must-read" list, containing only entries which I have personally found helpful or which I expect to find helpful based on browsing or the recommendation of a friend.

Celtic:

• Kinsella's Táin (1969) was recommended to me by a native Celt and language geek, raised in a family tradition, as "the best translation available".  I have it on my shelf, awaiting a chance to read it.
• Meeting the Other Crowd (Lenihan & Green, 2003) is a collection of stories that illustrate the surviving Celtic fairy belief, recommended by the same native Celt mentioned previously.  This is also awaiting its turn to be read.
• Gods and Fighting Men (Gregory, 1904) Part 1 collates various fragments of early Celtic mythic lays into readable copy.  Contrast Gregory's account of the Second Battle of Magh Tuiredh with any of the existing translations of Cath Maige Tuired (Gray, unknown).  I have not yet read Part 2, which is a collection of heroic lays.
• The Druids (Ellis, 1995) provides excellent scholarship regarding what we know about the ancient Druids and the Celtic culture and belief systems that pre-date Christianity.
• The Four Ancient Books of Wales (Skene, 1868) is the source for much of Arthurian legend and is purported to contain kernels of pre-Christian mythology.  The samples I have randomly browsed from this collection appear to be mostly free of obvious Christian edits.  Contrast with the beautiful but highly contaminated Mabinogion (Guest, 1877), which is derived from the Four Ancient Books.
• The Carmina Gadelica (Carmichael, 1900) is a collection of Scottish folk practices, songs, hymns and poems that demonstrate many of the old ways in spite of obvious Christian influence.
• Lady With A Mead Cup (Enright, 1996), collects and discusses a great deal of research into European warband cultures, with particular attention to the place of ritual in the social structure of Celtic and Germanic peoples.

Norse:

• Essential Ásatrú (Paxson, 2006) is easy to read, the scholarship seems genuine and the attitude of the author seems suitably modern and hate free.
• Dictionary of Northern Mythology (Simek, 2006) as translated by Angela Hall is the superior version of this work (according to Simek, her translation is better and more complete than the original).  A work like this is, in my opinion, essential to keeping track of the many proper names and terms in the Eddas and Sagas.
• The Poetic Edda (Thorpe, 1866) is reputed to be among the most accurate translations of this work.  I have been able to verify some of its accuracy myself.  Contrast with the more popular Hollander translation, which takes too many liberties for the sake of flow.
• The Poetic Edda (Bellows, 1936) often flows better than the Thorpe version and is nearly as accurate, thus negating the need for Hollander's publication.
• Heaney's Beowulf (2000) preserves the feel of the original Anglo-Saxon in a facing-pages dual-language edition that is a joy to read.
• Northvegr's Trúlög, Sögumál, and Praiseworthy Virtues of the North (Teague et. al, 2004) provide a good introduction to the Norse mindset, grounded in the Sagas and Eddas.
• A Short Introduction to Heithni (Teague et. al., 2005) includes an overview of the Regin (gods and goddesses), a reconstructed creation tale, and information about the Fuþark (runes), Galðr and Seiðr.
• The Religious Practices of the Pre-Christian and Viking Era North (Teague et al., 2004) contains an overview of the vast amounts of information that were preserved for future generations about the ancient Norse ways.
• Wyrd Staves, Mystery of the Futhorc (Bohrer, 2003) provides an examination of the Anglo-Saxon Rune Poems and the runes themselves.
• Lady With A Mead Cup (Enright, 1996), collects and discusses a great deal of research into European warband cultures, with particular attention to the place of ritual in the social structure of Celtic and Germanic peoples.

Hindu:

• The Rig Veda (Griffith, 1896) is among the most ancient surviving religious and cultural texts in the world.
• The Origins & Development of Classical Hinduism (Basham, 1989) is a wonderful introduction to ancient Hindu belief written by "one of the world's foremost authorities on ancient Indian culture and religion."

Occult:

• Aradia (Pazzaglini, 1998) is a new translation from Leland's original notes.  It is widely held to be superior to Leland's original.
• The Wiccan Mysteries (Grimassi, 1997) includes references and explains the nuts-and-bolts of the occult theory that many modern magical practices (Wicca, Ceremonial Magic, Thelema, Shamanism) are based on.  The scholarship in this regard is top-notch.  The book also includes an overview of Grimassi's theory that Wicca and other modern practices evolved from an old "European Goddess Religion."  While some of the links in this particular logic chain are (IMHO) tenuous, Grimassi points out most of the holes himself.
• Wicca (Cunningham, 1988) because nobody ever has anything bad to say about Scott Cunningham.  Even the authors that argue amongst themselves usually agree that Scott Cunningham "had it all figured out."
• The Magical Household (Cunningham & Harrington, 1983) because it has a bunch of stuff you can "do" around the house to create a more positive living experience.
• Knight's Exploring Celtic Druidism (2001) contains a beautiful system with workable rituals, a sound introduction to Celtic mythology, and hands-on instructions for creating your own tools.
• The Evil Eye (Elworthy, 1895) is a hands on manual for warding against and purging evil.

Complete Bibliography:

If I have read a work, or a significant portion thereof, the publication date appears in bold face.  The remainder are listed either because they are useful for contrasting with alternate preferred versions (in the Selected Recommendations, above) or because I have evaluated them and expect to find them useful eventually.

Celtic Studies

Christianity

• Various (unknown). The King James Version of the Bible. The Internet Sacred Text Archive.
• Wake, William et al. (2004). #6516: The Forbidden Gospels and Epistles. Project Gutenberg.
• Weisse, Frederick (unknown). The Apocryphon of John, long version. The Nag Hammedi Library.

Miscellaneous Religious, Mythological and Literary Texts

Northern Studies