Three books, eh? You ought first to know that there is a schism in ufologie between people who believe that these are aliens from space, and people who believe that they're the same thing that our ancestors called the Good People. I'm firmly in the second camp. With that caveat, I'd go with
"The UFO Controversy in America" by David Jacobs
It's not the most common book, but Amazon has it:
http://www.amazon.com/Ufo-Controversy-A ... 0253190061 It's pricey, but worth it.
This isn't so much about UFOs as it is about the way the issue has been studied and treated in the popular media and academia from 1947 to 1975. It's a fascinating read, not at all dry or didactic, and it gives you a frame of reference for reading early accounts and theories of UFOs. It lets you understand the unspoken assumptions behind cases from the 50s and 60s (a period which fascinates me). Studiously neutral and fair-minded, the author reports but does not judge.
"Passport to Magonia" by Jacques Vallee
Again, pricey, but Amazon has it:
http://www.amazon.com/Passport-Magonia- ... 0809237962 Ideally I'd say read this *and* "Messengers of Deception", by the same author, but if you're only reading one, go with this one. This one deals more with the nature of the phenomenon, less with its meaning. Vallee makes the argument (convincingly, IMHO) for viewing UFOs within the context of the supernatural.
"The Mothman Prophecies" by John Keel
Very common book, widely available.
Purists would argue that it isn't really a UFO book, and they'd be right. It deals with UFOs. monsters, Men in Black, giant birds, and some other things as well. Keel tends to write from memory, so his facts aren't always to be trusted as to exact particulars, but his overall narrative is reliable, and like Vallee, he treats UFOs as part of a larger phenomenon. He's also an excellent storyteller, and he had the advantage of being personally involved with the 1966-67 Mothman flap. A nice look at what investigating UFOs looks like from the inside.