For all grades, the 'Music theory in Practice' books by Aston and Webb.
For grades 1-5, the pink AB guide to theory. For 6-8, the blue one, but pink is still useful.
For 6-8, the 'Theory Workbooks' (i don't know if you can get them for earlier grades), but IMO, they're not as good as MTIP, even though they're meant to be more relevant to the new sylabus.
For grades 1-5 you can get the 'Theory time' books, but I didn't get on very well with them, so wouldn't really recommend them.
For pre-grade-1, the Monkey Puzzles books (that go with 'Me and My Piano') were fun when I started.