The Rise and Fall of the Third Reich, by William L. Shirer is pretty much the standard beginner history, it gives the great overview.
Also of interest were:
The Night of the Long Knives: Forty-Eight Hours That Changed the History of the World by Paul R. Maracin
The Night Of The Long Knives: June 29-30, 1934 by Max Gallo
The last days of June, 1934 were perhaps the most important in the 20th century, once no law could contain them, the die was cast.
Also, a bit boring, but no other book like it exists.
Inside the Third Reich by Albert Speer, which is really the only insider book - everyone else was dead.
And, when you get through all of that, perhaps one of the most important books I've ever read, and I think it changed my life in some ways, if for nothing else, it really says how boring and dull the Nazis were, is:
Eichmann in Jerusalem: A Report on the Banality of Evil by Hannah Arendt
From wiki:
Arendt suggested that this most strikingly discredits the idea that the Nazi criminals were manifestly psychopathic and different from "normal" people. From this document, many concluded that situations such as the Holocaust can make even the most ordinary of people commit horrendous crimes with the proper incentives, but Arendt adamantly disagreed with this interpretation, as Eichmann was voluntarily following the Führerprinzip. Arendt insisted that moral choice remains even under totalitarianism, and that this choice has political consequences even when the chooser is politically powerless
