Here is my list, in no order of importance:
1. Chariots of the Gods by Erich von Daniken. This is the one which is a must have in the library.
2. Everything is Wrong by Erich von Daniken. In this book, Herr von Daniken answers the critics and the questions of some of his earlier work.
3. Fingerprints of the Gods by Graham Hancock. This flawed but well written book has much information about past possible civilizations. No mention of ancient astronauts, but plenty of mysterious places.
4. Captured! The Betty and Barney Hill UFO Experience: The True Story of the World's First Documented Alien Abduction by Stanton Friedman and Kathleen Marden. If one is interested in Betty and Barney Hill, this book has much more information on that case.
5. The Twelth Planet by Zecharia Sitchin. The first book by Mr Sitchin is very controversial even to this day. You do not need to get his other books as they really get into the nitty gritty of the ideas in this first book.
6. The Sirius Mystery by Robert Temple. There is a revised edition of this book out which is quite fascinating. This is the book about the Dogon and their connection to the star Sirius. Much more complex of a book than the debunkers let it on to be, filled with where the idea of the Nommo came from.
7. UFOs and the National Security State: Chronology of a Coverup, 1941-1973 and The Cover-Up Exposed, 1973-1991 (UFOs and the National Security State, Vol. 2) by Richard Dolan. These books are must haves for the library of any serious study of ufology. All of the major cases and others are listed in this book.
8. Alien Dawn: A Classic Investigation into the Contact Experience by Colin Wilson. Since you are more in tune with things psychic, this book is about that connection to the UFO phenomena.
9. Atlantis and the Kingdom of the Neanderthals: 100,000 Years of Lost History by Colin Wilson. Of all the authors out there, Mr Wilson is one of my favorites. His ideas are always outside of the box, and he never makes fun of the subjects he writes about. While the title seems a bit outrageous, the book is very interesting.
10. Mammoth Encyclopedia of the Unsolved by Colin Wilson. The Mammoth Book collections are interesting, and Mr Wilson puts in all things unknown from Bigfoot to UFOs. Many other mysteries are in here which might not be heard of by all people. Great reference book to have.
11. Real Monsters, Gruesome Critters, and Beasts from the Darkside by Brad Steiger. I enjoyed this book that is another great reference book on all things strange.
12. Crash: When UFOs Fall From the Sky: A History of Famous Incidents, Conspiracies, and Cover-Ups by Kevin Randle. Lt Col Randle (USAR-Ret) is a very good researcher who isn't afraid to call a hoax a hoax. This means, if he thinks there is something to a crash report, it should be looked at seriously.
13. Rule by Secrecy by Jim Marrs. Yes, this is a conspiracy book, but it is a well written one. Mr Marrs lets the reader decide for themselves.
14. Crossfire: The Plot That Killed Kennedy by Jim Marrs. One of the first and best books out there that deals in the facts about what happened. It is a real eye opener to why so many questions are left unanswered about the Crime of the Century.
15. UFOs, JFK, and Elvis: Conspiracies You Don't Have to Be Crazy to Believe by Richard Belzer. The actor actually has written a very good (and very funny) book on these conspiracies. I added this one to keep things light and use this book as a great introduction to these subjects.
Other books by the above authors should also be checked out. This is a good list to get one started.