There has been a surge in interest in the Great War in the last ten years or so, and a similar surge in the number of books filling the gaps in our knowledge there. Some are better than others, each pushes forward their own opinion, often in spite of the facts. Historians, professional and amatuer love to argue and, as you must realise, they are always right!  However the books listed are those I have found interesting.
Any book by Lynn MacDonald is worth a look. Well researched and packed with detail these books cover every year of the war and much besides.
1914 : 1915 The Death of innocence : Somme (1916) They Called it Passchendaele (1917) : 1914-1918 Voices and Images of the Great War (personal letters, diaries etc from those involved) : The Roses of No Man's Land (which tells the stories of the young nurses who tended the wounded.)
Forgotten Voices of the Great War : Max Arthur : A history of the war through the words of men who were there.
The First Day on the Somme : Martin Middlebrook : An in depth account of the first day. Details of the preparation, the action and the huge losses sustained in what had been planned as the great breakthrough. 
History of the First World War : B. H. Liddell Hart : His (somewhat anti Haig) account of the war in which he saw action.
The Face of Battle : John Keegan : What war was like for men in action during several differing wars.
The First World War : A.J.P.Taylor : His own version of events 
True World War I Stories : Personal tales from the men who fought and survived. 
Up The Line To Death : The War Poets 1914-1918 : Edited by Brian Gardner : WWI Poetry.
The War Poems : Siegfried Sassoon : The best poet of the war?
Siegfried Sassoon : Jean Moorcroft Wilson :J86-1918. A somewhat self indulgent author this!
Scars Upon My Heart : Edited by Catherine Reilly : Woman's poetry and prose of the WW1
Soldiers Killed on the First Day of the Somme : Ernest W. Bell : Lists the names of over 18,000 killed on that day.
TheGreat War of Words : Peter Buitenhuis : Literature as propoganda 1914-18 and after.
A Stillness Heard Around the World : Stanley Weintraub : The details of the final day of the war on the 11th of the 11th 1918, and the behaviour of those involved at the front and at home.
A Military Atlas of the First World War : Arthur Banks : Maps, weapons of the war.
The MacMillan Dictionary of the First World War :Stephan Pope & Elizabeth- Anne Wheal
The World War One Source Book :
Philip J. Haythornwaite :
PUNCH' magazines for the war years 1914-1919.
Field Marshall Earl Haig :
Philip Warner. Biography of the man at the top.
No Mans Land : John Toland. The Story of 1918
Passchendaelle : Philip Warner. The story of the battle. 1917.
Poor Bloody Infantry : Bernard Martin. A Subaltern on the Western Front 1916-17.
A War in Words : Svetlana Palmer & Sarah Wallis. Excellent! Excerpts from diaries and letters.
Tommy : Richard Holmes Highly recommend this book.
The Flowers of the Forest : Trevor Royle. Scotland and the Great War
In Flanders Fields :
Trevor Royle. Collected Scots poetry of the Great War.
McCrae's Battalion'
The Earl Haig Fund
In the last twenty or so years a great many
books on the war have been published, almost
all of them worth reading.  These are my suggestions beginning with
'McRae's Battalion,' Jack Alexanders definitive history of the 16th Royal Scots.
Flowers of the Forest