Peter Webb has an excellent book on the web on Finite Group Representations (available as postcript, PDF and DVI).

An Elementary Introduction to Groups and Representations
by Brian C. Hall. Very nice set of notes, great as a first introduction to Lie theory.

These notes give an elementary introduction to Lie groups, Lie algebras, and their representations. Designed to be accessible to graduate students in mathematics or physics, they have a minimum of prerequisites. Topics include definitions and examples of Lie groups and Lie algebras, the relationship between Lie groups and Lie algebras via the exponential mapping, the basics of representations theory, the Baker-Campbell-Hausdorff formula, a detailed study of the representations of SU(3), and a brief survey of the representation theory of general semisimple groups.

Group Theory by J.S. Milne.