My 2 favorite biographies are
Goodnight Mr Dante By Val Andrews & A Gift From The God (Chung Ling Soo) Also by Val Andrews.
Both very indepth story about the lives and hardship they had to face.
I also found this thread...
http://www.talkmagic.co.uk/ftopic24578-15.php
There is a list about half way down the page on this thread with some great books on it.
I have read the Illustrated History of magic by Millbourne Christopher which is very interesting.
I f i think of any more i'll post them.
Darren @ The Magic Attic