Camus, A., The Just (Les Justes, 1950) - Camus' play about a revolutionary plot that goes wrong is so close in its concerns to The Secret Agent that it is worth reading to show a post-World Wars reading of such activity. It is relatively short but inspiring and contains the famous line, "The bomb alone is revolutionary".
Conrad, J., Introduction to The Nigger of the 'Narcissus' - If you wish to understand what Conrad was trying to achieve in his early novels it is absolutely essential that you read this.
Cox, C.B., Joseph Conrad - The Modern Imagination - This is generally useful for the student of Conrad.
Hunter, A., Joseph Conrad and the ethics of Darwinism ... This contains an essay "Society's web and the ethics of Lombroso" which traces Conrad's creation of character very well. It is also good for general textual commentary.
Stewart, J.I.M., Joseph Conrad ... A slightly stuffy volume that is as helpful as a devil's advocate to disagree with as it is a guide.
Watt, I. (ed.), The Secret Agent Casebook - Very useful collection of essays, including F.R.Leavis and Norman Sherry. Good for contemporary context.