exercise books are all well and good, but the thing that will help you to improve the most is just learning songs. For this, there is the Real Book. Jazz standards galore. And just to please Jay, i will tell you to get The Music Lesson. there isnt much in the way of straightforward exercises, but there is a wealth of straight up musical wisdom. One thing though, youre going to have to excuse his prose. He is a musician, and not a novelist after all.