Cichlid Atlas Vol 1 - if you like the Baensch Atlases, you'll love this title.
Cichlid Aquarium - Paul Loiselle - I would consider this the first purchase for anybody who wants to know about cichlids.
Anything with the name Ad Konings attached to it: ie Malawi Cichlids in their Natural Habitat, Tanganyikan Secrets, Tanganyikan Cichlids in their Natural Habitat.
The Aqualog series - as RTR pointed out, they are pricey, but how many people really have to have all of them (please, no finger pointing) Absolutely wonderful photographs.
Bristlenoses, Catfish with character - by Kathy Jinkings - a wonderful little book on those cute little bushynoses.
The four books by Horst Linke and Wolfgang Staeck - African Cichlids 1-Cichlids from West Africa, African Cichlids 2-Cichlids from East Africa, American Cichids 1-Dwarf Cichlids, American Cichlids 2-Large Cichlids.
The Cichlid Fishes-Nature's Grand Experiment in Evolution by George W. Barlow - Not a how to keep them book, but very entertaining and enlightening reading. You'll fully understand what a cichlid is when you are through.
South American Dwarf Cichlids - by Mayland and Bork - everything you ever wanted to to know about these small guys with big character.
Anybody familiar with the multi-volume set on Catfish by David Sands or the Seub (Seuss??) book on Corydoras.