I like Papadimitriou's book.
Specially, it has "Class Review" sections at the end of several chapters, illustrating the relations among complexity classes.
The relevant sections are:
- Section 10.4.1 (page 235): P, NP, coNP.
- Section 11.5.1 (page 272): P, ZPP, RP, coRP, BPP, NP, coNP, PP.
- Section 15.5.1 (page 385): AC, NC, RNC, P.
- Section 16.4.1 (page 405): NC$_1$, L, SL, RL, SC, NL, PolyL, P.
- Section 17.3.1 (page 433): PH and PSPACE.
- Section 20.2.1 (page 499): P, NP, coNP, PSPACE, EXP, NEXP, coNEXP, EXPSPACE, 2-EXP, ELEMENTARY, R.
The book also includes a nice take on time- and space-hierarchy theorems; see Chapter 7.
EDIT: I also recommend Complexity Zoo's Active Inclusion Diagram (requires Firefox 1.5 or later, or Opera 9 or later). If you don't have that, you may try Zoo's Static Inclusion Diagram.