Under the Banner of Heaven by Jon Krakauer — A journalist's investigation of fundamentalist Mormon splinter groups, intercut with a history of early Mormonism. Controversial and gripping, it explains the theological context for both the mainstream LDS church and its violent offshoots. Essential reading for understanding what Salt Lake City is built on.
Mormon Country by Wallace Stegner — First published in 1942, this is a sympathetic and beautifully written account of the Mormon settlement of the American West by one of the great American nature writers. Stegner grew up partly in Utah and writes about the landscape and the culture with authority and feeling.
The Executioner's Song by Norman Mailer — Mailer's long Pulitzer Prize-winning novel about Gary Gilmore, who was raised in Utah and was the first person executed in the United States after the reinstatement of the death penalty in 1977. Not exactly a travel book but an extraordinarily detailed portrait of life in the Utah/Oregon working class in the 1970s.
Rough Stone Rolling: A Cultural Biography of Mormonism's Founder by Richard Bushman — The definitive scholarly biography of Joseph Smith, written by a Mormon historian with unusual candour about the contradictions and controversies in Smith's life. More readable than it has any right to be given its length.