The Financial Crisis Commission recently published a report on what caused the financial crisis.  The blame is widespread and the following is a summary of their findings.  The full 600 page report can be downloaded as a book from Amazon.

1. The financial crisis was avoidable.  Warnings were ignored and risks were not managed.  An example of this is the Federal Reserve's failure to stem the flow of toxic mortgages, which it could have done by setting prudent mortgage-lending standards
2. Widespread failures in financial regulation and supervision proved devastating to the stability of the nation's financial markets.  There was a lot of faith in the self-correcting nature of the markets and the ability of financial institutions to effectively police themselves. 
3. Regulators had ample power in many arenas, but they chose not to use it: The SEC could have required more capital and halted risky practices at the big investment banks.  It did not.  The Federal Reserve Bank of New York could have clamped down on Citigroup's excesses in the run-up to the crisis.  They did not.  Policy makers and regulators could have stopped the runaway mortgage securitization train.  They did not.
4. Dramatic failures of corporate governance and risk management at many important financial institutions were a key cause of this crisis.  To many of these financial institutions acted recklessly taking on too much risk, with too little capital.  They took on enormous exposure in acquiring and supporting subprime lenders and creating, packaging, repackaging, and selling trillions of dollars in mortgage-related securities.
5. A combination of excessive borrowing, risky investments, and lack of transparency put the financial system on a collision course with crisis: In the years leading up to the crisis, too many financial institutions, as well as too many householder, borrowed to the max, leaving them vulnerable to financial ruin if the value of their investments declined even modestly.  As of 2007 the big investments banks were operating at leverage ratios of 40 to 1, meaning for every $40 in assets, there was only $1 in capital to cover losses.  To add to the problem the leverage was often hidden and not transparent to the investing public.
6. The government was ill prepared for the crisis, and its inconsistent response added to the uncertainty and panic in the financial markets:  There was no comprehensive and strategic plan for containment of the crisis because the key policy makers (The Treasury Department, the Federal Reserve Board, and the Federal Reserve Bank of New York) lacked a full understanding of the risks and interconnections in the financial markets
7. There was a breakdown in accountability and ethics.  Lenders made loans that they knew borrowers could not afford and that could cause massive losses to investors in mortgage securities.  The crisis was a result of human mistakes, misjudgments, and misdeeds that resulted in systemic failures for which our nation has paid dearly.
8. Collapsing mortgage-lending standards: Many mortgage lenders set the bar so low that lenders simply took eager borrowers qualifications on faith, often with a willful disregard for a borrower's ability to pay.  On top of the irresponsible lender, there were predatory and fraudulent practices
9. Over-the-counter derivatives contributed significantly to the crisis: In 2000 there was legislation enacted to ban the regulation by both the federal and state governments of over the counter derivatives.  Without any oversight, OTC derivatives rapidly spiraled out of control and out of sight, growing to $673 trillion in notional amount
10. The failure of credit rating agencies: The three credit rating agencies were key enablers of the financial meltdown.  In 2006 Moody's put its triple-A stamp of approval on 30 mortgage-related securities every working day.  The results were disastrous - 83% of the mortgage securities rated triple-A that year were ultimately downgraded.

In addition to the Commission's report there are many books published over the past years, that cover the crisis. However one documentary worth watching is TheInside Job.  I'm not really going out on a limb by recommending it as it did win an Academy Award this year.  It gives a great account of why the crisis occurred and who were the players in it.