I'd recommend "Mastering Delphi 6" by Marco CantA1. It's huge and it covers pretty much everything (and as such, it's a handy weapon to defeat burglers, dropping it on their heads).

Delphi in a Nutshell is good for reference since it contains lots of insider info (e.g. the RTTI details), but it can be a bit frightening. It does assume a fair grasp of the language beforehand, IMO.

There are some other ones online. There's a SAMS book, Teach Yourself Borland Delphi 4 in 21 Days. It can't hurt to have a look at it since it's free. Marco CantA1 has a couple on his site, Essential Pascal and Essential Delphi.