Good to follow the interesting debate that has developed thus far. There are a range of books out there that I would recommend to scholars of risk, but there are clusters of texts which are doing different things, I think.
By way of general introductions, I would agree with Adam that there are some superficial accounts in existence, written by academics with only a passing interest in risk. The two that stand out as significant contributions for me are those by Lupton and by Arnoldi, both entitled Risk. I believe that Deborah Lupton is re-writting and updating her book so I look forward to seeing that in print because her theoretical account is very strong.
There are other texts that seek to assemble social science contributions across the piece and to further inter-disciplinary debate on risk. These have travelled some way in demonstrating the diversity of uses and applications of risk but have perhaps endorsed rather than achieved a holistic view. I would put my own book with Sandra Walklate in this category and also Jens' book with Peter that was published in the same year. To this end, I would agree that there is still a gap for a thorough, integrated text on risk.
Aside from this, there are a cluster of theory specific books on risk, some of which endorse/critique Governmentality (Culpitt, Lupton), Anthropological (Caplan) or Risk Society perspectives (Mythen).
I teach a level three course undergraduate course on the Risk Society and at present I tend to recommend different texts to students following different degree routes. For Criminology I suggest O'Malley's Crime and Risk, for Sociology students Arnoldi's Risk, for Anthropology students Lupton's Risk and for Social Policy students I recommend Culpitt's Social Policy and Risk.
I am currently finishing off a text that covers the terrain of Sociological Criminology. The reviews commissioned by the publishing house have been positive and instructive, but the main feedback point is that more is needed on the environment. This returns us full circle perhaps? Is it better to have a series of relatively niche texts on risk or to try and encapsulate the breadth of domains influenced and shaped by risk in one go? Answers on a postcard ....