There's a new guide book out about St. Louis - part of the Moon traveler's series - and it is very good.  It tells more about the off-the-beaten path places than the traditional guides.

If you are a history buff, required reading is Lion of the Valley, James Neal Primm's definitive chronicle of the city's history. 

Laurell K. Hamilton, the author of the popular Anita Blake Vampire Hunter series, is from the St. Louis area. Her Anita Blake books are all set in St. Louis so they have a lot of reference to the area. Her other series, the Merry Gentry series, take place across the river around the Cahokia Mounds but don't reference the area as much.