Bayesian Modeling Using WinBUGS by Ioannis Ntzoufras, 2009.

Not only does this book introduce Bayesian methods, but includes everything one needs to immediately start running and diagnosing Bayesian models from simple normal models to generalized linear models to Bayesian hierarchical models. Not impressed yet? An entire chapter on how to set up and run WinBUGS (also useful for OpenBUGS!). Pseudo code and R code side-by-side throughout the book. Everything is illustrated with hands on examples. Also included are a chapter on the predictive distribution and model checking, and a chapter on checking convergence.

It is such an excellent combination of theory, explanation, application, software instruction and code.