If you want to know about Tomcat (free servlet container) as well, I recommend the "Apache Tomcat Bibl" from Eaves, Jones and Godfrey. This book explains how to install the J2SDK, Tomcat, MySQL and it gives the code of a complete web application with the MVC (Model View Controller) design pattern.
This may look like overkill, but I must admit that this is the book that explains how to build we applications using JSP and servlets.
Of course, the book of Marty Hall mentioned in the previous replies, is a must have !
I want to become Sun Certified Web Component Developer (SCWCD). I mostly use JSF, so I need some good book about JSP. It should be not "prepare for exam in 3 days" kind of book, but something more useful (JSP knowledge is priority, not exam itself). Time is money, so I want to invest it into reading useful JSP book.