I found Quantrill and the Border Wars, by William Elsey Connelley to be very interesting. He was a Quantrill demonizer, but his voluminous footnotes are hugely interesting. In fact I liked them more than the main text of the book. He befriended a number of the Q. men after the war, attended some of their reunions, wrote extensively about some of them while protecting their identities. He persuaded Q. man William Gregg to write a manuscript which Connelley was going to help him publish (I believe Connelley swindled Gregg on this deal,) and Gregg's resulting manuscript survives as an eyewitness account of life as a guerrilla.
William Gregg's Civil War is a fairly recent book compiled from his manuscript and his correspondence with Connelley. Fascinating!
Donald Gilmore's Civil War on the Missouri - Kansas Border is an attempt to counter Connelley's demonization of Quantril and it is a well researched read.
Three Years With Quantrill is a memoir by John McCorckle, dictated in advanced old age to O.S. Barton. It is extremely interesting, but there are some inaccuracies in some of the event timelines--probably due to McCorckle's age at the time he dictated it.
Babe of the Company is a very good memoir by Howard Countian Hamp Watts, who rode with Bill Anderson's band after Quantrill.
There are so many more.