The Rise of Theodore Roosevelt by Edmund Morris fascinating not just because of the character, but some great details of life in that era, particularly some of the stuff from the Dakota Territory This chapter "The Winter of the Blue Snow" is unbelievable. This book chronicles his life from his birth up to McKinley's assassination, and Roosevelt's ascension to the presidency.
http://books.google.com/books?id=pO2...page&q&f=false