For those who are wondering if this is a crank. He is a notable mathematician. He is most notable for his work on http://en.wikipedia.org/wiki/Internal_set_theory which is a way to simplify the handling of non-standard analysis (calculus with infinitesimals - hyperreals on a rigorous footing).
He also wrote this book http://www.math.princeton.edu/~nelson/books/rept.pdf that studies probability theory without measure theory - I've only been through a couple chapters but I recommend it as interesting. Different perspectives help to allow one to understand things more fully.
Radically Elementary Probability Theory (REPT above) is an excellent book. A very thin volume that anyone who labored through measure-theoretic probability would enjoy at least scanning.
It is fascinating and original, like the proof mechanism mentioned upthread.
He also wrote this book http://www.math.princeton.edu/~nelson/books/rept.pdf that studies probability theory without measure theory - I've only been through a couple chapters but I recommend it as interesting. Different perspectives help to allow one to understand things more fully.