Asimov had a three-volume autobiography:
In Memory Yet Green,
In Joy Still Felt, and
I, Asimov (published relatively soon after his death; the final portion was by his wife Janet about his last days). Connected to that would also be his anthologies,
Before the Golden Age and
The Early Asimov, which collects together stories which influenced him (the first) and many of his very earliest tales (second), along with much autobiographical material.
And speaking of RAH, there is also the volume
Requiem, which brings together some pieces by Heinlein himself as well as tributes, memoirs, and estimates from his peers.
J. G. Ballard wrote a lovely autobiography shortly before his death, titled
Miracles of Life, while Brian Aldiss' first novel,
The Brightfont Diaries, is a fictionalized account of some of his experiences working as a bookseller. Michael Moorcock's
Letters from Hollywood may also be of interest, being a series of letters about his experiences written to Ballard when Moorcock was working in Hollywood for a time; and Colin Greenland's interview/overview of Moorcock's life, work, and career,
Death is No Obstacle, may be as well.
Charles Platt's Dream Makers volumes, which are comprised of a series of interviews with various sf writers (complete with brief overviews of their career), is worth looking into; while Fred Pohl's
The Way the Future Was is a wonderful book about the early days of sf fandom and professional writing, and Harry Warner, Jr.'s
All Our Yesterdays is also very informative on those topics.
Despite flaws, L. Sprague de Camp's book,
Literary Swordsmen and Sorcerers, is quite enjoyable and often informative, providing brief looks at several of the major lights of fantasy:
Literary Swordsmen and Sorcerers - Wikipedia, the free encyclopedia
His biography of Lovecraft, titled simply
Lovecraft: A Biography, has some more serious faults, but also has things to recommend it, though the biography of Lovecraft would be the forthcoming
I Am Providence: The Life and Times of H. P. Lovecraft, by S. T. Joshi, which restores a huge amount of text to the previously abridged version,
H. P. Lovecraft: A Life... also well worth reading, especially if you can't afford the new edition. Memoirs of HPL abound, the best single collection of them being
Lovecraft Remembered, edited by Peter Cannon:
Lovecraft Remembered - Wikipedia, the free encyclopedia
There are more books on him than could possibly be squeezed into a single post, but these would be a good place to start.
Robert E. Howard has had two biographies, one by L. Sprague de Camp and his wife Catherine, in conjunction with Jane Whittington Griffin:
Dark Valley Destiny, which has received a fair amount of adverse criticism for various errors and misinterpretations, etc.; and Mark Finn's
Blood & Thunder: The Life and Art of Robert E. Howard, written by a Howardian scholar, but in extremely accessible prose.
Clark Ashton Smith has yet to receive a full-length biography (to my knowledge), but you may want to look into
The Sorcerer Departs: Clark Ashton Smith (1893-1961), by Smith scholar and editor (and a notable poet in his own right) Donald Sidney-Fryer, as well as
The Freedom of Fantastic Things: Selected Criticism on Clark Ashton Smith, as well as his volume of
Selected Letters, as well, of course, as the introductory essays to Night Shade's 5-volume
Complete Fantasies of Clark Ashton Smith.
Then there is Humphrey Carpenter's biography
Tolkien, as well as his book on
The Inklings (dealing especially with Tolkien, Lewis, and Williams).