My degree is in Psychology, and many people I speak with (outside of Marketing) have the tendency to think that I'm not using my degree because I don't spend all day listening to somebody tell me their problems. However, I'm constantly finding things about my job that are aided by my background in Psychology--understanding the triggers that make people act; how memory works, so I can make my campaigns more memorable; how the human eye reads and the brain responds to stimuli, so I know that the design of a piece is really going to achieve our objectives.
I just read a great article about leveraging human behavior in Marketing from Target Marketing Magazine called "Live From DMA 07: Four Ways to Leverage Human Behavior" and has some really great tips for incorporating psychology research findings into your marketing.
While I'm on the subject, one of my all-time favorite books is a *fascinating* one by Paco Underhill called Why We Buy: The Science of Shopping. It's not too helpful to me in my current job because I don't deal with retail, but it's still a truly interesting study into the intersection of human behavior and business.