J. H. Elliott never really stopped writing on early modern Spain and has become one of the bedrocks for scholarship on Habsburg Spain. His essay anthologies Spain and Its World, 1500–1700 and Spain, Europe and the Wider World 1500-1800 are good surveys of major trends and developments within the historiography.

One of the big blind spots of this older scholarship is their lack of focus upon gender within early modern Spain. One of the major works on gender is Gender and Disorder in Early Modern Seville by Mary Elizabeth Perry which was followed up by The Handless Maiden: Moriscos and the Politics of Religion in Early Modern Spain, which shows the interplay between gender and politics. Between Exaltation and Infamy : Female Mystics in the Golden Age of Spain: Female Mystics in the Golden Age of Spain by Steven Haliczer is a broad survey of spirituality and gender. In a similiar vein, Richard Kagan's Lucrecia's Dreams: Politics and Prophecy in Sixteenth-Century Spain examines the life of a female mystic who came to prominence during Philip II's reign. Magdalena S. Sánchez's The Empress, the Queen, and the Nun: Women and Power at the Court of Philip III of Spain explores the intersection of politics and gender through three elite Habsburg women. For a survey of wider counter-reformation religious policies through a regional lens, God in La Mancha: Religious Reform and the People of Cuenca, 1500-1650 by Sara Nalle is a good place to start.

Geoffrey Parker's quite recent biography of Philip II, Imprudent King is an excellent look at Philip II. His son, Philip III received something of a short shrift in the older historical literature, but Paul Allen's Philip III and the Pax Hispanica, 1598-1621: The Failure of Grand Strategy rectifies some of this by arguing that Philip III tried and failed to adapt a more pragmatic grand strategy for Spain. For Philip IV, Elliott's biography of Olivares is one of the landmark texts and quite readable.

Ooooh my favorite topic! The recommendations of /u/kieslowskifan/ are very good and I've read most of them. I agree that the recent work on Philip III, and the less recent on Philip II, has cast a deeper and more nuanced picture of both kings.

I also want to recommend several books:

• J. Lynch, "Spain under the Habsburgs," ISBN-13: 978-0814750094, 1984. This book is really full of wealth and nuances, it goes through the economic depression of Aragon, the inter-class conflict that rears itself into the Revolt of the Comuneros and the Revolt of the Hermandades, etc. It really puts a lot of the challenges of Spain in good context.
• G. Parker, "The Grand Strategy of Philip II", ISBN-10: 0300082738, 2000. This book analyzes the "northern orbit" grand strategy of Charles V and Philip II, and the Spanish armada. It covers quite a lot of ground in Philip II's development of a bureaucracy system to match the size of his unwieldy empire.
• G. Parker, "The Army of Flanders and the Spanish Road, 1567-1659: The Logistics of Spanish Victory and Defeat in the Low Countries' Wars," Cambridge [u.a.]: Univ. Press, 2004. And finally, this is the book that made me really fall in love with the topic. It has numbers, statistics, and analysis of the long struggle between the Dutch rebels and the Spanish.