To read as soon as possible:

Inference and Bayesian technique and philosophy:

Jaynes Lecture Notes:
Preface
Ch1
Ch2
Ch4
Ch4, figure
Ch5
Ch24
References

Bretthorst's comments and errata

Gelman: A Bayesian formulation of exploratory data analysis (ps file)
Gelmans Valencia7 talk (overlaps the above)
Bernardo: Bayesian Statistics
This overview presents useful properties of Bayesian analysis with normal (Gaussian) distributions.

Rekommenderad extraläsning:
Two , papers by Fisher on fiducial probability, the starting point for evidence theory

Arnborg: Robust Bayesian analysis and its relation to evidence theory, Manuscript

Aykroyd on Bayesian imaging problems
Robust Bayes and Dempster/Shafer
J. J. Oliver and D. J. Hand(ps file)
J. J. Oliver and R. A. Baxter(ps file)
S. Arnborg: Hur formedlar observationer och handlingar kunskap?(svenska)
Philosophical aspects of Discovery Science

Partikelfilter (MCMC och Sequential Monte Carlo)
N. Bergman: Recursive Bayesian Estimation, PhD Thesis(pdf file)
The introductory chapters summarize Bayesian analysis and particle filtering in an excellent way.

Klassificering:
Cheeseman & Stutz: Autoclass

Causation:
Freedman on causation (history)
Freedman on causation
Nonlinear systems:
Valpola&Karhunen: An unsupervised Ensemble Learning Method for Nonlinear Dynamic State-Space Models (ps file)

pointers to some other reports