Lane's lists are good. Much could be said here because it is a pretty open-ended question.
Some books that I would want to highlight for sure are (many of which are available online in the links forum):
* Metrical Psalter
* Westminster Standards
* Three Forms of Unity
* Directory of Family Worship
* Robert Shaw's Exposition of the Westminster Confession
* John Brown of Haddington's Exposition of the Westminster Shorter Catechism
* Zacharias Ursinus' Commentary on the Heidelberg Catechism
* John Calvin,
Institutes
* Wilhelmus a'Brakel,
The Christian's Reasonable Service
* Commentaries on the Bible (Calvin, Henry, Poole, Spurgeon on the Psalms, etc.)
* John Bunyan,
The Pilgrim's Progress
* Richard Baxter,
A Christian Directory
* William Gurnall,
The Christian in Complete Armour
* Lewis Bayly,
The Practice of Piety
* Henry Scudder,
The Christian's Daily Walk
* Augustine,
City of God
* Augustine,
Confessions Suggested Reading Suggested Library - Resource List