Check out Chapter 12 on COT analysis (page 159).
Market Indicators: The Best-Kept Secret to More Effective Trading and Investing Richard Sipley (2009)
The Commitments of Traders Bible Stephen E. Briese (2008)
Most comprehensive book on the subject.
Sentiment in the Forex Market Jamie Saettele (2008)
Check out Chapter 5, starting at page 69. The primary sentiment indicator in the forex market is still the COT data.
Complete Trading for a Living: The Legendary Approach to Trading Alexander Elder (2006)
One of the classic books on trading deals with COT analysis as well.
Trade Stocks and Commodities with the Insiders: Secrets of the COT Report Larry Williams (2005)
Another classic, with typical Larry Williams style. Lots of great ideas to interpret the COT data.
Commitments of Traders: Strategies for Tracking the Market and Trading Profitably Floyd Upperman (2005)
Good book, but not as great as Briese or Williams. His charts are hard to grasp, if you are visual type.
Contrary Opinion R. Earl Hadady (2000)
Check out Chapter 8 on Market Composition.
Charting Commodity Market Price Behavior L. Dee Belveal (2000)
Not your typical technical analysis book. It deals with the really important stuff: volume, open interest and of course Commitments of Traders.
A Complete Guide to the Futures Markets Jack D. Schwager (1984)
After 27+ years, it is still one of the most complete guide to the futures markets. Its table of contents is longer than some other books. 760 pages total.