I have read several. Although it isn't really a training book, I loved Cesar's Way, by Ceasar Milan. There has been much talk about Cesar, and I don't think that most of his methods are relevant to yorkies -- from what I understand he generally deals with large dogs with aggression issues, but the book helps you to understand how and why a dog thinks as he does.
Geez, I hope this doesn't turn into another Cesar debate. Come one girls and guys, let's recommend some good training books.