I like the Alfred "Ear Training" series, which can be used independently of the Alfred Method books - I find them useful from the very beginning, and they have proved popular with students - useful for reinforcing theory as well.
I also like the Paul Harris "Improve Your Aural" series - I don't use every bit of these, but there are some useful exercises and I have developed some of my own ideas through reading and using these books.
I find the "Aural Time" series a bit more user friendly that the AB books.