I'll start the topic off with a few of my favorites:
In Harm's Way: The Sinking of the U.S.S. Indianapolis and the Extraordinary Story of Its Survivors by Doug Stanton. I can't remember how many times I said "Wow" while I was reading it.
David Howarth's
The Shetland Bus: A WWII Epic of Escape, Survival, and Adventure as well as
The Sledge Patrol: A WWII Epic of Escape, Survival, and Victory were fantastic. While the titles seem a little too similar, the books weren't redundant in the least.
Unfortunately, I don't think any of these are available electronically.

I'd still recommend them without reservation.