Hi,
For me it will be Learn to Play Go vol 4 and 5, because they summarize all the fundamentals.
Then Level Up Vol 1 to 10. These are exercises but the philosophy is a bit different from Graded go Problems or other problem books, because they insist more on examples and repetition than on solving problems. That's exactly what I needed.
So far we have theory and exercises... my third book will be different : The Go Player's Alamanch 2001, which is a kind of encyclopaedia about the game of go. Very interesting and a great source of information.