I was asked recently "How many of these do you actually use?" referring to my numerous Bible Dictionaries, Encyclopedias and the like. While my answer, "All of them," was not dishonest, it might have been a little disingenuous--some of them get used an awful, awful lot more than the others. So today we honour those, with a list of the essential reference books for any dilettante exegete. Primary sources are a given, so won't be included in the list (if you don't have a hard or digital copy of the Nag Hammadi finds, or Josephus, you probably shouldn't be getting a Bible Dictionary yet anyway).
1) The Anchor Bible Dictionary One of the priciest tomes on the list. Six volumes, 350 bucks, worth every penny. It's not the best because it's popular, it's popular because it's the best. Do yourself a favor and buy the digital version from Logos.
2) The IVP Dictionaries Yeah, yeah, I'm sneaking three books in here, but only because they're a series. The Dictionary of Paul and His Letters, The Dictionary Of Jesus and the Gospels and The Dictionary of the Later New Testament and its Development. There's also some OT volumes, which I don't have, so can't really comment on.
3) The Dead Sea Scrolls Bible I debated whether or not this one should appear, for two reasons. Firstly, it's a primary source, which I said I'd neglect at the outset. But it's not one most people have (or think to get), so it passed that test. The second is that how valuable one finds it depends on how sectarian one views the creation of the texts: It's more difficult to view it as a very valuable witness if we consider it being created in isolation. Since I tend against this view, it finds its way here.
4) Oxford Dictionaries of. . . I have half a dozen of these, so I'm sneaking a bunch in again. While not as thorough as some of the other volumes named here, the Oxford Dictionaries nonetheless provide a quick, useful overview of their entries (Oxford Dictionary of the Bible, Oxford Dictionary of Classical Myth and Religion, Oxford Dictionary of People and Places in the Bible, etc.)
5) The IVP Bible Background Commentary (OT & NT) Snuck two in again. I'm crafty like that. A normative commentary will help you see how someone else has understood it. These "Bible Background" commentaries will help you understand it yourself.
6) Harper's Bible Dictionary This, the Anchor Bible Dictionary, and Eerdman's Bible Dictionary almost go without saying. . .
7) Eerdman's Bible Dictionary . . .But I'll say it anyway.
8) Ancient Christian Commentary on Scripture (NT) A collection of ancient citations and applications of Biblical passages. You'll need to take out a second mortgage to buy it, but it'll be worth every penny. Peter Kirby's e-catena provides something similar, but it's nowhere near as exhaustive. The OT volumes aren't quite finished yet (I believe 3 still remain), but I can't justify the purchase for the OT anyway, being somewhat outside of my area of interest. Do yourself a favor again: Get it from Logos. Also available on Accordance for you Mac cultists :P