Yeah, Thinking in Java is good stuff.
Core Java (2 volumes) isn't as well written, but more comprehensive.
Face it, there's no such thing as a complete Java reference guide with examples anymore because the Java platform is so huge (if you're including enterprise Java). I guess one could write a 1000 page J2SE reference guide, but I'm not sure if there's a good one out there.
I find the Java Tutorial (available online) is not bad either.