What is the best introductory book on probability?

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[Mentor's note: I have deleted some misinformation.]

Henk Tijms, Understanding Probability, second edition, Cambridge University Press, 2007.
 
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Wow, I just skimmed through the book and it's a great book! It isn't as rigourous as I like my books, but for a first course I think that's a good thing.

The book gives clear and easy definitions and then provides lots of real interesting examples. It even introduces advanced concepts such as Markov chains, Brownian motion, moment generating functions in an easy way.

The book does have a wopping 500 pages, but I suggest reading all of it. For example, the most important stuff really happens in the second part of the book, while the first part is kind of an introduction. So I wouldn't skip anything, if I were you.

If anybody asks for a recommendation for a first encounter with probability, then this book would be my suggestion!
 

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