1) OpenGL Programming Guide, Third Edition, Mason Woo et al, Addison-Wesley Developers Press, ISBN 0-201-60458-2

Usually referred to as the 'Red Book'. This is so useful when you are learning OpenGL, a very comprehensive introduction. The only problem is that there is no platform specific stuff.

2) OpenGL Programming for Windows 95 and Windows NT, Ron Fosner, Addison-Wesley Developers Press, ISBN 0-201-40709-4

This is not so good but does cover the Windows implementation with good descriptions of context creation and pixel formats.

3) OpenGL Super Bible, Second Edition, Richard S. Wright Jr, Michael Sweet, Waite Group Press, ISBN 1-571-69164-2

A comprehensive book with plenty of examples.