For Windows I have Network Programming for Microsoft Windows Second Edition, it's an excellent book that covers socket programming under all versions of Windows using standard WinSock API as well as .NET and how to use it in C, C++ and C#. For *nix, Unix Network Programming Second Edition Volume 1 - Networking APIs Sockets and XTI, Linux Socket Programming, Linux Socket Programming by Example, and TCP/IP Sockets in C Practical Guide for Programmers. Scrap up the money to buy those and you should never have a socket problem you can't handle
