A. N. Wilson, Victoria (2014) — The best modern biography of Queen Victoria, which devotes considerable attention to her relationship with Albert and her deep attachment to Coburg. Wilson is good on the strangeness of the Saxe-Coburg dynasty spreading its children across European thrones, and reading it before visiting Ehrenburg and Rosenau puts the palaces in proper context.
John Röhl, Wilhelm II: The Kaiser's Personal Monarchy (2004) — Kaiser Wilhelm II was a great-grandson of Victoria and Albert and thus a product of the Coburg dynastic project. Röhl's multi-volume biography is formidable scholarship, but even a partial read explains how the royal connections that seem charming in Coburg's museums eventually fed into the catastrophes of the twentieth century.
Lyndal Roper, Martin Luther: Renegade and Prophet (2016) — The best biography of Luther in English, by one of the leading historians of the Reformation. The chapters on Luther's stay in the Veste Coburg are vivid — the isolation, the anxiety, the extraordinary productivity. Reading it before climbing the hill changes the experience of standing in those rooms.