These are books that will help you prepare for the mathematical Olympiad series, which will help you with math competitions in general. Note, this order may or may not apply to you based on your level. Also, these are not the only books! Feel free to suggest any additions you feel are appropriate.
For the AMC 10:
AoPS Introduction Series
AoPS Volume 1
Practice questions from past tests
For the AMC 12:
AoPS Introduction Series
AoPS Volume 1, Volume 2
Practice questions from past tests
For the AIME:
AoPS Intermediate Series
AoPS Precalc.
Challenging Problems in Geometry
Number Theory a Problem Solving Approach
Work through practice exams
For questions 13-15 AIME and beginning USA(J)MO:
Begin Art and Craft of Problem Solving
Geometry Revisited
Begin Problem Solving Strategies
Begin improving proofwriting skills by doing 1,4 USAMO
Work on National Olympiads of similar difficulty
National Olympiads from other countries can be found here: National Olympiads
For the entire USAMO:
Art and Craft of Problem Solving
Geometry Revisited
Projective Geometry (book)
Non- Euclidean Geometry (book)
Generatingfunctionology
101, 102, 103, and 104 From the training of the US Olympiad Team
Work through all USAMO problems and TST(ST) and IMO problems
A great way to prepare for contests (really, any contest in general) is doing past problems. These will give you a "feel" for the problems.
Here are AMC Series Problems and Solutions.