Good question. I perused Skiena's Algorithm Design Manual, but it's way to fluffy. If you enjoy hand-waving, it's a nice read. But if you are either after the theory or after an implementation, I've read better books.

Sedgewick's Algorithms is good for implementations in imperative languages. Okasaki's Purely Functional Data Structures is a nice introduction to some algorithms and data structures suitable in a purely functional setting. He also addresses laziness.

And finally for the theory, Schrijver's "Combinatorial Optimization: Polyhedra and Efficiency" tells you more about P and the boundary to NP than you ever wanted to know.

Those are just a few that I enjoyed, and I can't claim they are the best.

For example Structure and Interpretation of Computer Programs is definitely worth a read, but it won't help you with algorithms directly.