There is so much information out there about Nicholas II and his life/downfall. I'd recommend http://www.alexanderpalace.org/, which has tons of information about Russian history as well as some full books written by members of the nobility surrounding Nicholas II. And some other books about the family that I've read:

• Nicholas and Alexandra by Robert K. Massie

• The Romanovs: The Final Chapter by Robert K. Massie

• (A corollary to the two above that I would still suggest is Journey by Robert Massie and his wife Suzanne, which is about their son's struggle with hemophilia and the inspiration for him to write Nicholas and Alexandra. It provides some insight into hemophilia and a little into the process of writing the book.)

• The Diary of Olga Romanov edited by Helen Azar. In Olga's own words, and some of Nicholas's, and Azar provides some context after their diaries end.

• The Life and Tragedy of Alexandra Feodorovna, Empress of Russia by Baroness Sophie Buxhoeveden, which is about her days serving the Romanov family as a lady-in-waiting to the empress. This is a memoir, so obviously just one woman's views, but I really enjoyed it, along with her other books.

• Rasputin: Faith, Power, and the Twilight of the Romanovs by Douglas Smith. This book is of course more about Rasputin than just the Romanovs, but there are some parts that detail Rasputin's relationship with Alexandra and the rest of the family. If you've heard anything about Rasputin's power over the family, then I would also highly recommend reading this book.