[1] Heard on the Street: Quantitative Questions from Wall Street Job Interviews by Timothy Falcon Crack Excellent book containing hundreds of solved sample problems from Wall Street interviews. Useful appendices review important finance concepts.
[2] Options, Futures, and Other Derivatives by John C. Hull The finance bible, required reading for all Wall Street jobs.
[3] Numerical Analysis by Lee W. Johnson and R. Dean Riess This book is out of print but any other introductory numerical analysis book should do.
[4] The Princeton Review: Cracking the GRE: Math by Steven A. Leduc Concise review of undergraduate mathematics; should be able to answer questions on this material on the spot.
[5] Introduction to the Mathematics of Financial Derivatives by Salih N. Neftci More mathematically sound than Hull's book [2], though it covers less material.
[6] Stochastic Differential Equations: An Introduction with Applications by Bernt K. Oksendal An excellent introduction to stochastic calculus, required knowledge for most quantitative jobs.