Books to self-study applied econometrics
Experts can provide better suggestions if you give more information about your background, preferred programming language, etc. An absolute beginner myself, I am trying to learn Stats and Econometrics, and their applications using R language, the lingua franca among stats community. So far I have consulted primarily Springer's Use R series and free resources available on CRAN. I found the following particularly useful:


Introductory Econometrics: A Modern Approach by Jeffrey M. Wooldridge
Applied Econometrics with R by Kleiber &amp; Zeileis


These are rather elementary books. Have a look at CRAN Econometrics Taskview to learn about applications of more advanced topics and even most recent Econometrics research.