I second Annis’s recommendation for Gonda’s grammar. I would start with this one for the classical language. It has been reprinted recently. Details:
Jan Gonda’a “A Concise Elementary Grammar of the Sanskrit Language: With Exercises, Reading Selections, And a Glossary. 2nd edition." (Paperback).
• Translated by Gordon B. Ford
• reprint of the 1966 edition, 2006
Publisher: University Alabama Press
Author: Jan Gonda,
Edition Number: 2
Language: English
ISBN: 0817352619
Whitney’s (deals with Vedic) and Macdonells’s grammars are available for free download!
A Sanskrit grammar; including both the classical language, and the older dialects, of Veda and Brahmana (1879)
Whitney, William Dwight, 1827-1894
http://www.archive.org/details/sanskritgrammari00whituoft
A SANSKRIT GRAMMAR FOR STUDENTS (1927)
By A. MACDONELL
http://www.archive.org/details/sanskritgrammarf014425mbp
At some point you’ll need a good dictionary. Macdonell’s A Practical Sanskrit Dictionary is available in second hand bookshops or as an online version:
A Practical Sanskrit Dictionary with Transliteration, Accentuation, and Etymological Analysis by Arthur Anthony Macdonell’s
http://dsal.uchicago.edu/dictionaries/macdonell/
Sanskrit: A Complete Course for Beginners (Teach Yourself series), by Michael Coulson is not that bad! But I would try Gonda first.
More books for download here (including comparative grammars of Sanskrit, Avesta, Latin and Greek):
http://www.archive.org/search.php?query=sanskrit%20grammar%20AND%20mediatype%3Atexts
Edit:
I’ve just been told that this book is also very good. Not seen it yet so can’t give a personal opinion.
Introduction to Sanskrit, Part 1 (Hardcover)
by Thomas Egenes
• Hardcover: 366 pages
• Publisher: Motilal Banarsidass; 1 edition (January 1, 2005)
• Language: English
• ISBN-10: 8120811402
• ISBN-13: 978-8120811409