[jclos]

The TAOCP[1] is the reference for all the types of algorithms it covers, the Cormen book[2] is a reference for its breadth and the Algorithm Design Manual[3] is quite nice to learn how to design your own.

[1]: http://www-cs-faculty.stanford.edu/~uno/taocp.html

[2]: http://www.amazon.com/Introduction-Algorithms-Thomas-H-Corme...

[3]: http://www.amazon.com/dp/1848000693