Daniel Boone: The Life and Legend of an American Pioneer by John Mack Faragher is pretty interesting. I listened to it on audio, but its so in-depth, I think the book would be more easily digested (I plan on getting it one of these days).
Amazon has it listed at under a dollar, used.
The Alamo by John Myers is fantastic. Its as much a history book of the Old Southwest as it is about the battle at the Alamo. As a bonus, it was written well before political correctness polluted so much of our history. Not that its rough or racist, it just isn't marred by a whole lot of post-modernist hand-wringing.
Lone Star is another incredible book that deals as much with the history of the Old Southwest and the nature of men who settled it (whose son's then moved on to Texas) as it is about the state. Well, the first half, anyways. Its insightful, full of information about the Scots Irish that were so much of the frontier stock, and the mindset and values of these people. Simple the most readable history I've ever come across, with the possible exception of Foote's Civil War series.
If you're really into the French Indian War era,
The War that Made America is superb.
War on the Run and
White Devil are both on Robert Rogers and his rangers. Interesting stuff.
The Annotated and Illustrated Journals of Major Robert Rogers is pretty interesting, too, but I've only just started it. I also recently started
Conquered into Liberty (I tend to read a few books at a time), and I'm enjoying it so far.
