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Books
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The Art of R Programming: Good book on R programming.
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Advanced R Programming: Great material on advanced techniques and especially package creation. Not done, but you can read what's already there on the webpage for free.
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Structure and Interpretation of Computer Programs: We call this the "wizard book". Yeah, there is also a dragon book, but it's on compilers. Scheme / LISP based. One of the best texts on programming. Read this. Now.
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Refactoring: Improving the Design of Existing Code: Title says it. Java based. Does not matter, the principle is important and explained very well through many well-chosen examples.
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Design Patterns: Written by the "gang of four". It definitely won't hurt you as an R programmer to figure out how design patterns can be used to structure and improve OO code.
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Algorithms and Data Structures = Programs: Classic text by Niklaus Wirth. Very good, but I suspect I should exchange this for a book which is equally good but much younger?