I like McGregor, too...it has nice exercises. Of course there is Rupert Snell's Teach Yourself Hindi, which is good for starting out, though I don't really like the exercises. And someone also mentioned Usha Jain's book...once you get to intermediate Jain has a great reader.
I would try and look at several before buying...it all depends on how your brain works. I like Michael Shapiro's Primer of Modern Standard Hindi:
http://www.amazon.com/Primer-Modern-Standard-Michael-Shapiro/dp/8120805089/ref=sr_1_1?ie=UTF8&s=books&qid=1263053623&sr=8-1It is very thorough and Prof. Shapiro is a linguist, so when it comes to explaining the grammar I think it is better than any of the other books I've seen. It is also really nicely organized. The only downside is that while it does have exercises, it does not have answers to them.
~ Rachel