Chris Okasaki's "Purely Functional Data Structures" covers exactly that which is lacking in a standard reference such as CLRS "Introduction to Algorithms". Read / work through both and you're well on your way to being great at algorithmic problem solving

edit: for those who are too lazy to google, here's the book on amazon http://www.amazon.com/Purely-Functional-Structures-Chris-Oka...

Thanks, It seems to be freely available too, first hit on google.

http://www.cs.cmu.edu/~rwh/theses/okasaki.pdf

Actually thats just Bob's copy of Chris' thesis, the book covers that plus a bunch of techniques that other people also cooked up. But the thesis covers enough stuff that it'll give you a good sense of whether or not the work is a worthwhile investment.

Be warned, what you get out of this material in terms of understanding is strictly proportional to your comfort in mathematical reasoning

Right, thats his thesis ... His blog indicates that the book has more than what's in the thesis ...

He also has a very good blog:

http://okasaki.blogspot.com/

Does anyone else have good suggestions?