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Books and guides
Information theory and inference by David MacKay This is my favourite textbook, I thank the author for the great book, and for making the pdf available online.
Convex Optimization by Boyd and Vandenberghe Also available in pdf.
Nice advice pages
Kevin Murphy's advice page to grad students from tools tips like latex and matlab to very general advice.
Philip Guo's page fellowship apps, grad school apps, grad student tips, and essays on various topics.