I just recently got Hilary Burnett's Mind Body and Mat Intermediate(suggested by Soosan) and love it!! I also have Quick Fix Pilates Abs and love it too. I can already see a dramatic difference in my core and it's only been a few weeks since I have been using Pilates.
Aside from Hilary Burnett, I like Ana Caban's intermediate DVD (Gaiam). Pilates for Dummies is a good one to start out with too but I prefer the other two.