"I've said elsewhere that children's books belong in the general conversation about books and not in some separate little nursery. So I applied the same rule here as I did with the rest: leave out the obvious classics. Alice didn't make it, but a less well-known Arthur Ransome than Swallows and Amazons did, and so did a book that still makes me laugh after 50 years, Norman Lindsay's The Magic Pudding. Just outside my list, but pressing hard, is Philippa Pearce's wonderful Tom's Midnight Garden."
In addition to The Magic Pudding, and Arthur Ransome's We didn't mean to go to sea, Pullman has chosen The Castafiore Emerald (one of the Tintin books), Complete Fairy Tales by the Brothers Grimm, the Finn Family Moomintroll, Kim, and Lavender's Blue (a collection of nursery rhymes). You can see the complete list of books on the Waterstone's Writer's Table Page.
Though I have not yet read We didn't mean to go to sea. I have read (and reviewed) Swallows and Amazons. I love all the Tintin books and I must agree that The Castafiore Emerald is one of the best. I have yet to review the Tintin books for Through the Looking Glass Book Review but will do so soon. Tom's Midnight Garden is one of my favorite books of all time and I greatly enjoyed reviewing it.
You might like to read the Times article written by Pullman in which he explains "how I chose my top 40." It is very well written (of course) and enormously interesting.
Through the Looking Glass Book Review has a profile on Phillip Pullman as well as reviews of the His Dark Materials Trilogy and the Sally Lockhart Mysteries.