The Colossal P.T. Barnum Reader: Nothing Else Like It in the Universe by P.T. Barnum and edited by historian James Cook is really good. It is an anthology of Barnum's own writing and various media with commentary by the editor Cook. We used it in one of my grad school courses on mass entertainment. Barnum was a complicated and often self-contradictory man, and this book gives you some good insight into that.