Go with the classic: Options, Futures, and Other Derivatives (5th Edition) -- by John C. Hull.
This book is written from a risk-management practitioner point of view and as such it goes in great length in not just showing the different valuation models, which include most of the models in practice, but also the working mechanism of the specific securities market, and the associated exchange and clearing house settlement procedure. The key strong point of this book is that the author wrote every section of the book with conciseness and to the point. Each instrument's characteristics are presented, the associated equations are explained, and the spreadsheet models are shown in detail (included with the accompanying disk). After reading the book one is left with the feeling that finance is really this simple, involving setting the appropiate model to go with the relevant parameters,
One point regarding the editing: it was simply a great pleasure to browse this book. The clean layout of the book, the consistent sequence of presentation of the materials for all the instruments, and the detailed explaination of each of every equation (all the equations all the cells are shown) allows the reader to follow and comprehend the material with ease.
The contents of the books: market mechanism, valuation and model of interest rate forward, foreign exchange forward, equity forward, interest rate swap (the author is really an expert in these types of intruments, showing models of single-rate bond valuation method, simple offset valuation method, zero-coupon yields bootstrapping, zero-coupon yields: forward rate reinvestment, futures strip swap pricing, forward rate offset valuation method, zero-coupon valuation method), cross-currency swaps, equity swaps, equity options, interest rate options, currency options. The disk includes major valuation models of all the derivatives.(most requires just Excel 4.0 version)
Update: Since this book was published over a year ago, many other fine derivatives books have been published. However its straightforward simplicity still makes it a valuable part of a risk manager's personal library. One minor objection even at [...]its list price it is still priced a tad [...] for an introductory/intermediate level textbook. Anyone more quantitative-oriented, might want to check Cuthbertson's Financial Engineering and Risk Management. Comes with software and real life application examples.