Oldies but Goodies (at least I like them!)

Empirical Bayes Gibbs Sampling (2001 Biostatistics)
Functional Compatibility in MCMC (1998 JCGS)
Statistical Inference and Monte Carlo Methods (1996 Test)
Statistical Inference and Monte Carlo Methods - Discussion (1996 Test)
Explaining the Gibbs Sampler (Gibbs for Kids) (1992 American Statistician)
Estimators with Increasing Risk: A Chi Square Identity (1990 Stat. Prob. Letters)