Books

R programming

The Art of R Programming: Good book on R programming.
Advanced R Programming: Great material on advanced techniques and especially package creation. Not finished, but you can read what's already there on the webpage for free.

Structure and Interpretation of Computer Programs: We call this the "wizard book". Yeah, there is also a dragon book, but it's on compilers. Scheme / LISP based. One of the best texts on programming. Read this. Now.
Refactoring: Improving the Design of Existing Code: Title says it. Java based. Does not matter, the principle is important and explained very well through many well-chosen examples.
Clean Code: A Handbook of Agile Software Craftmanship: Writing clean, readable code is of utmost importance. Clean Code by Robert C. Martin offers a good starting point on your way to become a better programmer.
Design Patterns: Written by the "gang of four". It definitely won't hurt you as an R programmer to figure out how design patterns can be used to structure and improve OO code.
Algorithms and Data Structures = Programs: Classic text by Niklaus Wirth. Very good, but I suspect I should exchange this for a book which is equally good but much younger?
FIXME: Pick stuff I read and liked from this list, in total we want <= 10 books on this list. http://www.goodreads.com/shelf/show/software-engineering