Merlin,
One good book might be "Recollections of Gustav Mahler" by Natalie Bauer-Lechner.
She went on frequent walks with Mahler, and offers a firsthand account of what he said to her, as he spoke of some of his pre-Alma symphonies.
Another one I like is, "Mahler, his life, works & world" by Kurt and Herta Blaukopf.
It includes many photos, and takes a chronological "walk" through Mahler's life that is easy and interesting to follow.
When you want to get into a study of each symphony, my favorite resource is a book written by a contributor here at the GMboard: David Hurwitz.
His "The Mahler Symphonies: an owner's manual" goes into detail about each symphony and has excellent tables where you can reference topics like "Screams, Crashes, and Thuds," and the appearance of recurring themes. If you're lucky, the book will even include in the back a sample reference CD to hear the points David makes.
Enjoy your entry into the life of Mahler. The more I learn, the more I want to know.
Constantin