A few books that help understand Zurich's particular contradictions — Calvinist financial centre and bohemian refuge, banking hub and avant-garde experiment:
Max Frisch, Homo Faber (1957). Zurich's greatest 20th-century novelist takes a Swiss engineer on a journey across continents that ends in a confrontation with the things he has refused to feel. The Zurich passages early in the book capture the city's well-kept emotional reserve perfectly.
Hugo Ball, Flight Out of Time: A Dada Diary (1927). First-person account of the launch of the Dada movement at Cabaret Voltaire in 1916. Short, intense, sometimes mystical; gives the bohemian counter-version of wartime Zurich.
James Joyce, Ulysses (1922). Much of the writing was done in Zurich during Joyce's First World War exile; chapters set in Dublin were drafted in Joyce's flat near the lake. A Joyce-in-Zurich pilgrimage takes in the Foundation, the Pub, and the Fluntern grave — see Carola Giedion-Welcker's biography for context.
Jean Ziegler, Switzerland: The Awful Truth (1976; English ed. 1979). A polemic by a Geneva sociologist about the Swiss banking system, much of it focused on Zurich. Dated in places, but it changed how a generation of Swiss saw their own financial sector.
Tom Bower, Blood Money: The Swiss, the Nazis, and the Looted Billions (1997). Forensic investigation of Swiss banking conduct during and after the Second World War, with Zurich as the principal setting. Heavy going but essential context for understanding modern Switzerland.