I think the most entertaining introduction to Bayesian thought is provided by Eliezer Yudkowsky in his “An intuitive explanation of Bayes’ Theorem“. The new text, Doing Bayesian Data Analysis, by Professor John Kruschke comes close. But it’s a textbook and a long approach to a subject is limited in its snap-crack entertainment value. (I won’t remark here on Professor Kruschke’s limericks and pithy sayings which are sprinkled throughout.)

Yudkowsky’s introduction is a gem. In addition to being adorned with lots of little exercises where you can check your understanding, Yudkowsky’s page has an inset where the life of Reverend Thomas Bayes is sketched. I have heard Bayes referred to as a Presbyterian minister, but Yudkowsky calls him a “nonconformist”. It is certainly true Bayes is buried in the Bunhill Fields cemetery in London, a “nonconformist cemetery”, but he writes as if that were a special sect. Wikipedia says it was a designation of The Act of Uniformity in 1662, so perhaps Yudkowsky is being entertaining again.

Anyway, I thoroughly recommend working through this fine introduction.

Eliezer Yudkowsky also has or participates in a blog called Less Wrong.