The most interesting biography I've read is "Lords of Finance" by Liaquat Ahamed, a biography of the four men who headed the New York Fed and the English, French and German central banks in the period between WWI and WWII. While you could argue it is a little light on biographical content, it gives a really excellent insight into the economic history of Europe between the wars, and how the economic fallout of WWI and the adherence to the gold standard ultimately contributed to the Great Depression.
In a similar vein, "The Man Who Knew" is a biography of Alan Greenspan, the chairman of the Federal Reserve from 1987 to 2006. This book goes a bit more into the private life of the central banker but also examines how his monetary policies contributed to the 2008 financial crisis. It's a good read, though perhaps a little less critical of Greenspan than it could be.