There may not be quite as many books about Pooh and Milne and Shepard as there are about Shakespeare, however, there are enough to occupy you for quite some time (and when you've finished them all you can always wite your own).

Here is a selection, no doubt it is incomplete, but at least it has the virtue of consisting of
books that I have actually read. (Any prices were correct as of 13 Jan. 2002, please go to the appropriate bookshop for updated information.)

It's Too Late Now. The Autobiography of a Writer.
(UK title, US title is simply Autobiography)

This is a bit of a must, really. Quite delightfully written, and informative into the bargain. It's out of print, but you can get it through ABEBooks for less than $20 (though if you want a first in a nice dust jacket you will have to pay a bit more...)

A.A. Milne - His Life
(US title: A.A. Milne - The Man Behind Winnie-the-Pooh)

Another must is Ann Twaithe's biography. You can find it at ABEBooks in hardback if you're lucky, or there's the paperback:

Buy it from Amazon.co.uk (£11.99)

Ann Twaithe has also written another book, dealing more specifically with Pooh. It's called
The Brilliant Career of Winnie-the-Pooh
and is very, very good. It is also, unfortunately, out of print. A search at ABEBooks might yield a copy, though.

We must not forget Shepard. Without him, our picture of the Silly Old Bear would be quite different (especially as the bear Shepard drew was not the one that belonged to Christopher Robin Milne - it was one called Growler, and belonged to Shepard's own son).
Shepard's autobiography is called:
Drawn from Memory

and is available in paperback from Amazon.co.uk (£7.99)

Check back later for more... Or go to the bibliography, and then to ABEBooks. Have fun, but hold on to your credit card...