Matt has a list of recommended reading on the site. I've gone through my share of books on the sport (I like to read in general) and I'd really like to add John Eisenberg's The Great Match Race about the 1823 duel(in 3 heats!) between Henry and Eclipse. Incredibly engaging and really gives one an insight into the game as it stood nearly 200 years ago.
Maybe the best book on the sport I have read.