Yao's is very good Although it is difficult, it is easy to understand. You'd better get the flash drive of Mr. Yao's lecture. The language is humorous, vivid and interesting, and you can master the knowledge of probability theory in a relatively relaxed environment. I listened to his lecture CD in 2005. Teacher Yao is not only an expert in the course of probability theory, but also has profound attainments in the academic research of probability theory.