Colette (Gigi, Cheri) is the first author that comes to mind for me. I used the works in parentheses pretty heavily in my undergrad essay about the Belle Epoque.

If you'd like to get in the mood a different way, the opera La bohème is from this period, and captures a lot of the spirit of this age. If you happen to live in New York City and are burdened with too much money, it is playing at the Met in March through April. If not, it is widely available on DVD. Or if you hate opera, the musical Rent is a modern version of this opera with AIDS instead of consumption.

No historian here, but in college, I read The Banquet Years, The Origins of the Avant-Garde in France, 1885-World War I, by Roger Shattuck and thought that it was a good history of that period.