The Geometry of Physics, Theodore Frankel; An excellent introduction to differential geometry and its application not just to GR but to other areas of physics as well. Highly recommended.
A First Course in General Relativity, Bernard Schutz; I found this book helpful in some specific areas -- notably understanding the notions of the stress-energy tensor.
Gravitation, Charles Misner, Kip Thorne, & John Wheeler; This is the classic text, and is comprehensive and comprehensible. I like Wheeler's way of thinking about physics, and it shows through here. There is the standard joke, that this is a text which not only discusses gravitation, but also attempts to demonstrate it by its high mass.
Five is a sufficiently close approximation to infinity. -- Robert Firth "One, two, five." -- Monty Python and the Holy Grail