The followings are few Sanskrit books that all will find useful and will give us real insight into Sanskrit literature as well as grammar. It will be very good to collect these books and add to personal library.
Many Sanskrit books are also available on the internet in pdf format from sanskrit.gde.to. It is an excellent source of online Sanskrit books available free.
Grammar & Dictionaries: The books below are very useful in learning Sanskrit (mlbd.com).
Magazines: Here is a list of few monthly Sanskrit magazines.
Literature: Following is a list of few very well known Sanskrit literature books published by Motilal Banarasi Das (mlbd.com) at a very nominal cost. This is just a small list of what MLBD publishes. All these books have the original Sanskrit text in Devnagri script with either English or Hindi translation.
Other Books: Other interesting and useful books (mlbd.com).