Recommended survey papers
Survey articles are particularly helpful in getting a foothold in a new research area, or in looking for important papers that you may have overlooked. Whatever area of research you are in, look out for survey papers and journals dedicated to publishing survey papers.
The journal Statistics Surveys is relatively new (volume 1 in 2007) and provides very helpful survey articles of areas of statistical research. It is sponsored by the American Statistical Association, the Bernoulli Society, the Institute of Mathematical Statistics, and by the Statistical Society of Canada. With that pedigree, the journal is required reading for anyone doing research in statistics!
The following articles are recommended reading for my research team (and anyone else working in time series and forecasting):
Another excellent review journal from the IMS is Statistical Science. The following paper is essential reading for all statisticians:
A more long-standing journal dedicated to review articles is International Statistical Review, published by the International Statistical Institute. However, I tend to find articles in that journal more technical and narrowly focussed than those in Statistics Surveys and Statistical Science.