A while back I did this for Texas. Like the earlier list, it is basically a sampling of books that I feel are individually good and together give readers a worthwhile overall appreciation of the war inside the borders of a particular state.
The military literature's almost overwhelming focus on the partisan and criminal aspects of the Civil War in Missouri has always been a source of disappointment for me, and the overall quality of it another thing to be lamented. Nevertheless, while what's available remains heavily weighted toward the early war period, there are many good works covering both the regular and irregular wars.  Skim Milk Yankees Fighting: The Battle of Athens, Missouri, August 5, 1861 by Jonathan K. Cooper-Wiele makes the most of limited source material to provide a fine small scale battle history and fine window into the early war in NE Missouri. The Battle of Wilson's Creek and the run up to it are covered best by  The Battle of Carthage: Border War in Southwest Missouri, July 5, 1861 by David Hinze and Karen Farnham and  Wilson's Creek : The Second Battle of the Civil War and the Men Who Fought It by William Garrett Piston and Richard Hatcher. The 1861 Union campaign in SE Missouri is well developed by Nathaniel Cheairs Hughes's  The Battle of Belmont: Grant Strikes South. Larry Daniel and Lynn Bock's  Island No. 10: Struggle for the Mississippi Valley carries the conflict in the Bootheel region into 1862. While the title indicates otherwise, the best overall coverage of the 1862 fighting throughout Missouri (especially the great recruiting drives) can be found in  Embattled Arkansas: The Prairie Grove Campaign of 1862 by Michael E. Banasik. The year 1863 saw several cavalry raids disrupt the state, and the best book length treatment of one of these is Frederick Goman's  Up from Arkansas: Marmaduke's First Missouri Raid, Including the Battles of Springfield and Hartville. Last, while it will hopefully be supplanted soon by other works in progress, Howard N. Monnett's classic  Action Before Westport, 1864 (rev. ed.) remains the best single volume history of the 1864 Price Raid.
Readers looking for a scholarly interpretation of the societal impact of the guerrilla war on the population will profit from Michael Fellman's  Inside War: The Guerrilla Conflict in Missouri During the American Civil War. For a well researched and comprehensive look at guerrilla events throughout the state, Bruce Nichols has authored very worthwhile set of reference books  Guerrilla Warfare in Civil War Missouri (Two volumes, 1862 and 1863, with another to follow). A pair of excellent and objective biographical works can be found in Edward Leslie's  The Devil Knows How to Ride: The True Story of William Clark Quantrill and His Confederate Raiders and Kirby Ross's edited  Autobiography of Samuel S. Hildebrand: The Renowned Missouri Bushwhacker. The president's policies in Missouri are outlined best in Dennis Boman's  Lincoln and Citizens' Rights in Civil War Missouri: Balancing Freedom and Security.
NW Missouri is probably the region most neglected, but a truly underrated work was authored by Preston Filbert. Titled  The Half Not Told: The Civil War in a Frontier Town, it explores the war in and around St. Joseph. Of course, no list can be complete without a book on St. Louis, and Louis Gerteis's  Civil War St. Louis is an informative social and political history of the river city so critical to two theaters of war.
A pair of excellent unit reference guides exist as well. The work that goes furthest in documenting the organization and leadership of the Missouri State Guard is  Sterling Price's Lieutenants: A Guide to the Officers and Organization of the Missouri State Guard 1861-1865 by Richard C. Peterson, James E. McGhee, Kip A. Lindberg, and Keith I. Daleen. McGhee also authored the  Guide to Missouri Confederate Units, 1861-1865.
Finally, several classic works of enduring value authored by participants of the war in Missouri are worthy of further mention: Thomas L. Snead's  The Fight For Missouri From the Election of Lincoln to the Death of Lyon,  With Porter in North Missouri by Joseph A. Mudd, and  The Civil War Reminiscences of General M. Jeff Thompson, edited by Stanton, Berquist, and Bowers.