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Recommended reading

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"If we think of it, all that a University, or final highest School can do for us, is still but what the first School began doing,--teach us to read. We learn to read, in various languages, in various sciences; we learn the alphabet and letters of all manner of Books. But the place where we are to get knowledge, even theoretic knowledge, is the Books themselves! It depends on what we read, after all manner of Professors have done their best for us. The true University of these days is a Collection of Books."
Thomas Carlyle (In: On Heroes and Hero Worship and the Heroic in History) 1840

"The Essential Bookshelf"

Thermodynamics
Max Planck "Treatise on Thermodynamics", Dover Publications (1926) ISBN 048666371X
Statistical mechanics
Oliver Penrose "Foundations of statistical mechanics", Reports on Progress in Physics 42 pp. 1937-2006 (1979)
Donald A. McQuarrie "Statistical Mechanics", University Science Books (1984) (Re-published 2000) ISBN 978-1-891389-15-3
L. D. Landau and E. M. Lifshitz "Statistical Physics", Course of Theoretical Physics volume 5 Part 1 3rd Edition (1984) ISBN 0750633727
Terrell L. Hill "Statistical Mechanics: Principles and Selected Applications" (1956) ISBN 0486653900
Terrell L. Hill "An Introduction to Statistical Thermodynamics" (1960) ISBN 0486652424
Mark E. Tuckerman "Statistical Mechanics: Theory and Molecular Simulation" (2010) ISBN 9780198525264
Liquids
J. A. Barker and D. Henderson "What is "liquid"? Understanding the states of matter ", Reviews of Modern Physics 48 pp. 587 - 671 (1976)
J-P. Hansen and I. R. McDonald "Theory of Simple Liquids", Academic Press (2006) (Third Edition) ISBN 0-12-370535-5 (electronic version on ScienceDirect)
C. G. Gray and K. E. Gubbins "Theory of Molecular Fluids: Volume I Fundamentals" Oxford University Press (1984) ISBN 978-0-19-855602-2
C. G. Gray, K. E. Gubbins and C. G. Joslin "Theory of Molecular Fluids: Volume II Applications" Oxford University Press (2011) ISBN 978-0-19-855621-3
Computer simulation techniques
M. P. Allen and D. J. Tildesley "Computer Simulation of Liquids", Oxford University Press (1989) (also: the computer codes on the CCP5 website and a very short erratum)
Daan Frenkel and Berend Smit "Understanding Molecular Simulation: From Algorithms to Applications", Second Edition (2002) ISBN 0-12-267351-4
David P. Landau and Kurt Binder "A Guide to Monte Carlo Simulations in Statistical Physics", Cambridge University Press 2nd Edition (2005)

Journals