I just finished reading When Genius Failed by Roger Lowenstein about the rise and demise of Long-Term Capital Management. Great book. I absolutely recommend it to anybody with even a remote interest in markets and particularly their psychology. It's crazy how none of the lessons of that whole saga were actually learned and pretty much the same thing happened again 10 years later with the subprime debacle. As Lowenstein says:
"One can be big (and therefore illiquid); one can (within prudent limits) be leveraged. But the investor who is highly leveraged and illiquid is playing Russian roulette. [...] On Wall Street, though, few lessons remain learned."