Two classics about time series and especially Fourier analysis
[1] M. Priestley: Spectral Analysis and Time Series, Academic Press, 1992
[2] P. Brockwell and R. Davis: Time Series: Theory and Methods, Springer, 1987

Some good books about discrete and continuous Wavelet Analysis
[3] D. Percival and A. Walden: Wavelet Methods for Time Series Analysis, Cambridge University Press, 2004
[4] M. Holschneider: Wavelets: an analysis tool, Oxford University Press, 1998
[5] R. Carmona, W.-L. Hwang and B. Torresani: Practical Time-Frequency Analysis, Academic Press, 1998

One of the geosciences classics
[6] C. Torrence and G.P. Compo: A Practical Guide to Wavelet Analysis, Bull. Amer. Meteor. Soc. 79, 61-78, 1998

My contributions to wavelet spectral analysis
[7] D. Maraun and J. Kurths: Cross Wavelet Analysis. Significance Testing and Pitfalls, Nonlin. Proc. Geoph. 11(4), 505-514, 2004, pdf, 282kB
[8] D. Maraun, J. Kurths and M. Holschneider: Nonstationary Gaussian Processes in Wavelet Domain: Synthesis, Estimation and Significance Testing. Phys. Rev. E 75, 016707, 2007
[9] D. Maraun: What Can We Learn from Climate Data? Methods for Fluctuation, Time/Scale and Phase Analysis, PhD Thesis, University of Potsdam, 2006, pdf, 3950 kB

An easy to read introduction to time series analysis:
[10] J. Honerkamp: Stochastic Dynamical Systems, VCH Publishers, 1994