The Rise of Theodore Roosevelt by Edmund Morris
The War Lovers by Evan Thomas
With The Rough Riders in Cuba by Theodore Roosevelt
The History Channel had a pretty good documentary called The Spanish American War-The First Intervention if you can find it.
Also, the Podcaster Dan Carlin (he does the Hardcore History podcast) has an excellent 4 hour overview of the Spanish American War with lots of info about TR. http://www.dancarlin.com
A Passion to Lead: Theodore Roosevelt In His Own Words Edited by Laura Ross
Rise of Theodore Roosevelt, already recommended below, is very very thorough. 100% worth it.