I was a bit of a PUA'aholic when I first got started, so I have read more theory than many. Ultimately, you will have to read several different styles and then determine what works best for you.
Here are some books I found helpful. Like everything, it is important to have a good balance of theory and practical skills
CLASSIC PUA:
THEORY:
Ambition posted a good starting book to help you understand the dynamics. I would also recommend the mystery method: Magic Bullets (Yes it is out dated and overly complicated, but it will help you understand the components of building attraction)
PRACTICAL:
Natural Game - The System of Being Natural With Women by Gambler
Make Her Chase You - Your Guide To Creating a Magnetic Personality by Tynan a.k.a. Herbal (Especially good, if you are a little morally uneasy with some of the PUA methods)
ALTERNATE PUA:
Finally, these last two, are a little different in theory, but I have found that they have some interesting insights, and both have helped me significantly.
Attraction Formula by Paul Janka
Finally, you have to practice it!
Locations:
You can go to bars, and practice/score. However, break out of the Mindset of going someplace to pick women up. Make it a part of your daily life. One of the best places to score, are grocery stores around 3pm in the middle of the week.