These are some of the more interesting non-fiction items I've read relating to Shakespeare. It's a working list -- I'd like to add more items about the authorship debate to it. Please hit me up if you want to make any suggestions!

Will in the World: How Shakespeare Became Shakespeare – Stephen Greenblatt (Was the Bard Catholic? Read circumstantial evidence in support of this theory!)
Shakespeare: The World As a Stage – Bill Bryson (Great light reading to get a good overview of what a London playwright's life could have been like)
Shakespeare Thefts: In Search of the First Folios – Eric Rasmussen (Amazing look at the importance of the First Folio -- this guy has a team that has tracked and catalogued all known copies. Includes insane stories about book thieves and Japanese libraries that won't allow Western researchers)
Shakespeare’s Wife – Germaine Greer (Ultra-feminist look at the very few facts we know about Anne Hathaway. Lots of info on what women's lives were like in Warwickshire)
Shakespeare on Toast: Getting a Taste for the Bard – Ben Crystal (The BEST simplified look at Shakespeare's language. Should be required reading for high school students and their English teachers)
Shakespeare and Modern Culture – Marjorie Garber (One of the foremost lecturers on the Bard gives great insight into ways 10 of his plays comment on 21st century society)