I’ve just about squeezed all I can from Data Mining with SQL Server 2005 by ZhaoHui Tang and Jamie MacLennan – both of whom were part of the Data Mining development team for SQL Server 2005.
This book provides a lot of what seems to be absent from BOL and MSDN – it goes through most facets of Data Mining using SQL server reasonably thoroughly, but from a very technical angle. It is littered with big chunks of code and feels and reads like technical documentation most of the way through. It doesn’t provide much insight into how to carry out effective Data Mining or interpret results – what little is there is useful, but it’s a slog to find it.
As a technical reference I’d recommend it, not least because of the dearth of decent documentation. If you’re a beginner trying to work out how to use the product to get results, you need to look elsewhere.