If you want to learn how to implement MCMC I recommend: Bayesian Logical Analysis Physical Sciences by Gregory Gregory's book explains a lot more of the engin

If you want to learn how to implement MCMC I recommend: Bayesian Logical Analysis Physical Sciences by Gregory Gregory's book explains a lot more of the engineering (autocorrelations, step size jumping, etc..). Even better, it discusses how to perform model selection using a clever annealing technique. Though model selection may not be of interest to you. ps - MacKay's book is my nightly reading, so I'm not dissing MacKay :)