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The Children of Henry VIII by Alison Weir. A cohesive and impeccably researched book about Edward VI, Jane Grey, Mary I and Elizabeth I. This is exciting history and fascinating reading. (This review © Amazon.com.)
Lady Jane Grey: A Tudor Mystery by Eric Ives. This biography depicts Lady Jane as a forceful, educated individual; analyzes her writings; and demonstrates that Edward VI's will gave Jane strong legal grounds for her claim to the English throne.
Lady Jane Grey: Nine Days Queen by Alison Plowden. This biography reveals Jane as a woman of conviction, intelligence, and steady faith beyond her years.
The Sisters Who Would Be Queen: Mary, Katherine, and Lady Jane Grey - A Tudor Tragedy by Leanda de Lisle. Lady Jane Grey was no mere victim, but a rebellious teen who became a leader. Her younger sisters became heirs and rivals to Queen Mary and Elizabeth I.
Nine Days' Queen by Mary Luke is a biography. Out of print, but available from Alibris.
Documents of Lady Jane Grey: Nine Days Queen of England, 1553 by James D. Taylor. A collection of documents, including letters supposedly written by Jane.
Innocent Traitor: A Novel of Lady Jane Grey by Alison Weir. Tells the story of the 15-year-old girl who unwillingly became England's queen for nine days.
The Queen's Rivals: A Novel of the Grey Sisters by Brandy Purdy. Jane, Katherine, and Mary Grey are tyrannized by their cousins, Queen Mary I and Queen Elizabeth I. (This book is known in the UK as The Fallen Queen by Emily Purdy.)
Three Maids for a Crown: A Novel of the Grey Sisters by Ellen March Chase. Novel about teenager Jane Grey, the shortest-reigning English monarch, and her two sisters.
Her Highness, the Traitor by Susan Higginbotham. Novel about Frances Grey, mother of England's nine-day queen Jane Grey, and Jane Dudley, mother of Jane's husband, Guildford.
A Dangerous Inheritance: A Novel of Tudor Rivals and the Secret of the Tower by Alison Weir. Novel about Lady Katherine Grey, sister of England's Nine Days' Queen, and her distant relative Kate Plantagenet, bastard daughter of Richard III.
In the Shadow of Lady Jane by Edward Charles. A medical apprentice becomes a member of the Grey household and witnesses the rise and fall of Lady Jane.
Coronation of Glory: The Story of Lady Jane Grey by Deborah Meroff. A novel written from Lady Jane's viewpoint. From Alibris.
Nine Days a Queen: The Short Life and Reign of Lady Jane Grey by Ann Rinaldi. Novel in which Jane Grey tells her life story. For young adult readers.
Raven Queen by Pauline Francis. Children's fiction about the life of Lady Jane Grey, who was Queen of England for nine days.
Lady Jane. Romantic 1986 movie starring Helena Bonham-Carter as the doomed Lady Jane. Not entirely accurate, but fun to watch. Formatted for North American audiences.