Lemony Snicket: The Unauthorized Autobiography - Lemony Snicket
(from the library; not technically a part of the Series of Unfortunate Events, but closely tied to it)
Not so much an autobiography as a collection of cryptic documents, letters, and photographs which reveal clues about Lemony Snicket's activities and the mysterious V.F.D. I read it after finishing book 5, The Austere Academy, but it probably should be read one or two books later to catch a few more of the references. Very clever and intentionally hard to follow, but something that fans of the Series of Unfortunate Events will delight in, down to the reversible dust jacket (to disguise its dangerous contents).
On a side note, I learned today at Waldenbooks that book 9, The Carnivorous Carnival, is due out October 29, which has been dubbed "Lemony Snicket Day." Even the instructions we were given for the store were all written in the same tongue-in-cheek manner, with bright hazard-orange buttons that say "Don't ask me about Lemony Snicket Day" and orange snap-bracelets ("Please go home"). We're advised to try to distract people from actually buying the book.