Complexity Classes - separations and inclusions
I like Papadimitriou's book.

Specially, it has "Class Review" sections at the end of several chapters, illustrating the relations among complexity classes.

The relevant sections are:


 Section 10.4.1 (page 235): P, NP, coNP.
 Section 11.5.1 (page 272): P, ZPP, RP, coRP, BPP, NP, coNP, PP.
 Section 15.5.1 (page 385): AC, NC, RNC, P.
 Section 16.4.1 (page 405): NC$_1$, L, SL, RL, SC, NL, PolyL, P.
 Section 17.3.1 (page 433): PH and PSPACE.
 Section 20.2.1 (page 499): P, NP, coNP, PSPACE, EXP, NEXP, coNEXP, EXPSPACE, 2-EXP, ELEMENTARY, R.


The book also includes a nice take on time- and space-hierarchy theorems; see Chapter 7.

EDIT: I also recommend Complexity Zoo's Active Inclusion Diagram (requires Firefox 1.5 or later, or Opera 9 or later). If you don't have that, you may try Zoo's Static Inclusion Diagram.