LAPACK User's Guide E. Anderson, Z. Bai, C. Bischof, Demmel J., J. Dongarra
ISBN: 0898713455
For those who want to know how the linear algebra module really works.
Numerical Recipes in C William H. Press, Saul A. Teukolsky, William T. Vetterling
ISBN: 0521431085
"One of the big problems in computational science is that most users of numerical methods have no training at all in that business, whereas the experts in numerical analysis make no effort to explain their work to non-specialists. Numerical Recipes tries to be the bridge between the two worlds; it's not perfect, but there's nothing better. My recommendation is to read Numerical Recipes to learn about the methods, but not to use the code for real-life work. There are much better libraries around for almost any application."