Peter Hopkirk, "The Great Game: The Struggle for Empire in Central Asia" — The essential history of the 19th-century rivalry between Britain and Russia for control of Central Asia, with Kashgar at or near the centre of much of the action. Hopkirk is a reliable narrator of a genuinely thrilling story, and the book makes the Chini-Bagh and the old consular compounds feel charged with meaning.
Catherine Macartney, "An English Lady in Chinese Turkestan" — Macartney was the wife of George Macartney, the British consul at Chini-Bagh for 28 years. Her memoir of daily life in Kashgar around the turn of the 20th century is vivid, funny, and specific — one of the best accounts of what the city was actually like when it was a Great Game outpost at the edge of the known world.
Christoph Baumer, "The History of Central Asia" (4 vols.) — A thorough and well-illustrated academic history of the region from prehistoric times to the modern era. If you are travelling the Silk Road seriously, the relevant volumes provide essential context for everything from the Buddhist caves to the Islamic architecture to the current political situation.
Nick Danziger, "Danziger's Travels: Beyond Forbidden Frontiers" — Danziger crossed into Afghanistan and China illegally in the 1980s, passing through Xinjiang on a journey that ended in Britain. The Kashgar section is vivid and the book is a good read for anyone heading this way overland from Pakistan or Central Asia.
Uyghur poetry anthologies — Several collections of classical Uyghur literature are available in translation, including selections from the Kutadgu Bilig by Yusuf Khass Hajib and the works of Ali-Shir Navai. They are harder to find than the books above, but reward the search for anyone wanting to understand the deep literary culture of this city.