Mahler in Literature: Books to get your collection started

Gustav Mahler : The Symphonies (1985)

Constantin Floros. Amadeus Press. 363p (with notes and index)
$10-20 on Amazon
One cannot describe how excellent this book is. It was written with a narrow focus but it does it incredibly well. For each symphony, Floros explores the origin story, the performances/revisions/reception and then delves into the best part : exploring the structure, musical ideas, and melodic borrowings complete with measure numbers and numerous examples. If you need to focus on the musical happenings, look no further than this book. I used it so much that my paperback copy is held together with tape. 

Master Musicians : Mahler (1974)

Michael Kennedy (ed. Stanley Sadie). Oxford University Press. 227p (with bibliography and index)
$30-35 on Amazon
A look at Mahler in two parts: his life (p 1-102) and his music (p 103-179) with a brief "reflection" that follows. The biography is very approchable for those new to Mahler and quite readable. The appedicies in the back uniquely include a calendar, to provide a barebones reference of the major events in his life as well as the juxtaposition of being placed it next to a calendar of contemporary musicians, which is a nice touch. His musical analysis is less complete than what you will find in Floros but does a very good job about touching on the relationships between his symphonies and how they were influenced by the different periods of his life as well as the song cycles he composed.

The Cambridge Companion to Mahler (2007)

Jeremy Barham, editor. Cambridge University Press. 342p (with appendicies, notes and index)
$30-35 (paperback) on Amazon
A collection of essays by various authors that explores four major aspects of Mahler : culural influences/contexts, his music and compositional process, his life as a conductor and performances of other composer's works he "retouched" and finally his reception since his first performance as well as performance practice. It even includes more indepth looks into his Piano Quartet movement and Das Klagende Lied than offered by other works.

Gustav Mahler: Three Volumes

Vol. 2 -  Vienna : The Years of Challange. (1995) 944p
Vol. 3 - Vienna : Triumph and Disillusion. (2000) 1054p
Vol. 4 - A New Life Cut Short. (2008) 1072p
Henry-Louis de La Grange. Oxford University Press. 3070p (in total)
Averages $125 per volume ($350 for the set) on Amazon
If you only buy one book on Mahler ever, it should probably be de La Grange's magnum opus. This book has almost everything you could possibly ever want to read on Mahler in any context. If you are a student writing a research paper, this had better be in your bibliography. Analysis, biography...you name it...its here.
Additional ideas:
There are many more books on Mahler out there, but this should be a good start. Read any other ones you think should be cornerstones on a musician's bookshelf? Leave a note in the comments section!