The best are the Jamey Aeborsold play-a-long books with CD's. If your local music store doesn't sell them, you can find them online and order them. they are great for learning and practicing jazz improvisation and playing standards.

Try the Gordon Goodwin's Big Phat Band play-along books. The books are ones where you can learn a certain part of a jazz ensemble composition by Gordon Goodwin and play along with his big band on the cd. Pretty challenging stuff, but fun as heck to play. The jazz charts featured in the books are some of Goodwin's most famous, and they contain improvization, and written comentary from Gordon Goodwin and other members of his band. There is an alto sax book and a tenor sax book.