All the books mentioned are wonderful, the two SABR Deadball books give a great insight into most of the AL & NL players of the era. The Lipset books give unequaled (except for this forum) info on the cards.
If you want to know a little more about the actual personalities of the people that played the game nothing and I mean nothing compares to Lawrence Ritter's classic THE GLORY OF THEIR TIMES. It tops every published list that I have seen as the best baseball book ever written and I would agree.
I think the thing that struck a chord with me is that these guys seemed very normal. I wrote Ritter a letter years ago and he and Donald Honig both related the same type of story. When these guys finished their careers they had to pick up a normal lifestyle and feed their families. Wagner is a great example, job to job, needing help from others often.
This group headed right into the great depression too. Baseball was a great thing to reflect on for them but survival was the paramount factor in their lives just as it was to most of our ancestors.
All of this makes Cobb stand out even more. For such a strange guy he seemed to understand money and its' value to his future more than most. From all I have read I think McGraw was a close second, not in accumulated wealth but in financial accumen.
Just my two cents worth.
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