I'd include such books as:
- Roman Britain, by Guy de la Bedoyere
- Pagan Religions of the British Isles, by Ronald Hutton
- Pagan Celtic Britain, by Anne Ross
- The Gods of the Celts, by Miranda Greene
- Dictionary of Celtic Myth and Legend, by Miranda Greene
- Tacitus - Agricola and Annals of Imperial Rome (there might be other texts wich contact between Romans and Celts take place in other works of Tacitus)
- Julius Caesar, The Conquest of Gaul (this I have not read, but I'm sure there's lots of information - obviously from biased in favour of Rome)
- Livy, Ab Urbe Condita (The Founding of Rome). I haven't read this in its entirity, but it talks about contact between Celts and Romans, including a really neat "battle crow" scene between a Gaulish warrior and a Roman centurian.
Books dealing with Roman religion that I particularly like (or think I will like):
- Pagans and Christians in Late Antiquity, by A. D. Lee (a good sourcebook)
- Paganism in the Roman Empire, by Ramsay McMullen
- Roman Religion, by Valerie M. Warrior (this is a nice little source book)
- La religion des romains, by John Scheid
- Religion et piete a Rome, by John Scheid (I haven't finished this but the intro is great - it talks about the falacy of considering religions as "dead" and suggests that instead they evolve organically over time).
I'm sure we can come up with a lot more...
ADDITIONAL: I must have this book, and it seems an ideal candidate for the list, "A Companion to Roman Britain", by Malcolm Todd (ed).
Note: If you post some book suggestions outside this post, and please feel free, make sure to tag it "books" so we can have an ongoing reading list. We should make a point of tagging threads as consistently as we can.