Not recent but interesting and essential reading for any student is Marc Bloch's The Historian's Craft, which he was still working on before he was shot by the Gestapo on 16 June 1944. If your work will have a comparative element then Max Weber's Economy and Society is a seminal text.

I'd also recommend the Companion to Historiography, ed. M. Bentley, (Routledge, 1997) which contains a wonderful selection of essays on a broad range of topics. Michel Foucault's work has had a massive impact on the humanities, although at a specific level I've found people tend to take him or leave him.

Other stuff is rather subject specific, Pierre Bourdieu's concept of habitus proven very useful for my work, but this might not be applicable for your own.

Of course the most important are the ideas floating around in your subject area. Pick out your specialist literature and read those introductions carefully, even concurrently, to discern whose ideas or approaches are influencing your modern historiography. Then read the original works! Bon chance!

There's obviously a ton of books on the theory and practice of history, so I'll only list the ones that have been the most helpful for me.

A lot of current history follows a transnational historical framework. For the theory behind this type of methodology, you should check out Rethinking American History in a Global Age, edited by Thomas Bender. A brand new book dealing with this type of framework is Historians across Borders: Writing American History in a Global Age. To see this framework applied in historical narrative, two good examples are Thomas Bender's Nation among Nations and Akira Iriye's Global Community.

You may also like some stuff on historical sociology. William Sewell Jr.'s Logics of History: Social Theory and Social Transformation is great, as is Remaking Modernity: Politics, History, and Sociology, edited by Julia Adams, et al. Margaret Archer's two books, Structure, Agency, and the Internal Conversation and Being Human: The Problem of Agency are also good.

A classic book that has a lot of contemporary resonance is Edward Said's Orientalism. He has another book called Culture and Imperialism which is also great. You will likely encounter Said a lot in grad school so it will be good to be familiar with his works. For a great critique of Said, check out the article by Andrew Rotter, "Saidism without Said: Orientalism and U.S. Diplomatic History" in American Historical Review vol 105.4 (Oct. 2000). If you're not into diplomatic history just read the first half of the article.

If you're into how history can be used as a prescriptive for contemporary policymakers, you may like Marc Trachtenberg's History and Strategy or another of his, The Craft of International History: A Guide to Method. Richard Neustadt and Ernest May's Thinking in Time: The Uses of History for Decision-Makers is also good.

If you're into recent history, the best (and really only book) is Doing Recent History: On Privacy, Copyright, Video Games, Institutional Review Boards, Activist Scholarship, and History that Talks Back, edited by Claire Potter and Renee Romano

If you care for more, I might be able to give you some more suggestions if you told me your topic(s) of interest.

Peter Novick's That Noble Dream: The 'Objectivity Question' and the American Historical Profession is excellent, though a bit older. The only somewhat recent book I can think of is Eley's A Crooked Line: From Cultural History to the History of Society, which might be useful for you. Reading an introduction to postmodern history (Hayden White?) would be a good idea, too.

Beyond those very general readings, recommendations for books dealing with method and theory are often field-specific. So you might want to mention what field you have in mind.