Random Walk and the Heat Equation has been published in the AMS Student Mathematical Library. It is based on lectures given to undergraduates in the REU program at the University of Chicago.
Random Walk: A Modern Introduction (with Vlada Limic), Cambridge University Press.
Conformally Invariant Processes in the Plane , American Mathematical Society,
of Random Walks is now available in the Modern Birkhauser Classics
Introduction to Stochastic Processes is a text for a nonmeasure theory course in stochastic processes.
Lectures on Contemporary Probability (with Lester Coyle) are lectures given to undergraduates at the Institute for Advanced Study/ Park City summer program in 1996. They have appeared in the AMS Student Mathematical Library series.
I was an editor for a volume of lectures notes from School and Conference on Probability Theory at the ICTP in Trieste. This book is available on the Web courtesy of ICTP.