TITLE: Good introductory book for stochastic calculus / Itō calculus?
QUESTION [8 upvotes]: I am looking for recommendations of a good first book to read on stochastic calculus / Itō calculus, say at the advanced undergraduate level.  Does anyone have a favorite?  Thanks so much!

REPLY [5 votes]: Oksendal is a classic. I personally really liked Klebaner-Stochastic Calculus with Applications. It was really well written and insightful. Somewhat rigorous, but still intuitive.