Recently Steven Skiena wrote a new book, “The Data Science Design Manual”: http://www.data-manual.com/ (the same who wrote “The Algorithm Design Manual”)
There is also a course based on the book uploaded here: http://www3.cs.stonybrook.edu/~skiena/data-manual/lectures/
And it even comes with a podcast (!!): http://www3.cs.stonybrook.edu/~skiena/quant-shop/
I have started reading it and I find it promising.