The best introduction is probably the Campaigns of Alexander the Great installment of the Osprey Military Campaign series. It's focused concisely on the military campaigns, a bit less on the other biograpnical aspects. This short book is full of battle and campaign maps as well as detailed illustrations of the different soldiers and weapons used: hypaspists, phalanx, Persian Immortals and Macedonian Companions, the sarissa, Alexander's cavalry, etc. The best full formal biography, IMO, is the one by Peter Green, which I believe is the standard modern text. Also, of course the documentary In Search of Alexander and the book based on that BBC series.