I recently read Gelman and Hill's book
Data Analysis Using Regression and Multilevel/Hierarchical Models. It very nicely explains classical regression (including a good amount of GLM) and then very nicely explains Bayesian inference and multilevel models. The exposition is both intuitive and mathematicall rigorous without being too demanding.
This is by far the best statistics book I've read for the social sciences and I've read a few by this point. I highly recommend it to anybody in psychology and plan to use it as a text whenever I teach statistics or research methods.
