Well, perhaps it's not really my favourite book, but it's certainly right up there with the most heavily thumbed tomes on my office bookshelf.
I'm referring to Tables of Integrals, Series and Products, by Gradshteyn and Ryzhik. I picked up a used copy of the 4th ed. (1965) for about $5 some years ago at Powell's bookstore in Portland, and it's saved me more anguish and time than I can possibly estimate.
For example (click for LARGER version):
(Sample page)
is now in its 8th edition (2014). You can download the 7th ed. (2007) on a pay-by-the-chapter basis from here, and you should be aware of the associated errata document.