Andrew Moore, a machine learning and data mining academic that has inspired me a lot, has put together a tutorial on key topics in his area. The topics have titles such as "Decision Trees", "Probability for Data Miners", "Bayesian Networks" and "Non-zero-sum Game Theory".
One important area that is left out is that of ensemble methods, bagging and boosting. Machinelearning.net has a list of references to good papers on that subject.
Link (Tutorial)
Link (Ensembles)