Philosophy Bites has an excellent interview with Ray Monk on Philosophy and Biography (mp3 format). Monk, of course, uses his experience with writing biographies for Wittgenstein and Russell, but much of what is discussed, of course, is generalizable.

One of the things Houyhnhnm Land is devoted to doing is showing the richness of the tools and approaches we can fruitfully use to understand the early modern period. Biography is one of these; and it becomes especially valuable in the early modern period, because a number of early modern philosophers themselves use it as a means of discussing philosophical topics and issues of the day. Consider the following, which consists of a small handful of the autobiographical and biographical works and disputes in early modern Scotland alone.

David Hume, My Own Life

Adam Smith, A Letter from Adam Smith to William Strachan

[George Horne], A Letter to Adam Smith LL.D. on the Life, Death, and Philosophy of His Friend David Hume Esq.

Thomas Ritchie, An Account of the Life and Times of David Hume, Esq.

Edward Gibbon, Memoirs of My Life and Writings

Dugald Stewart, Account of the Life and Writings of Adam Smith, LL.D.

Dugald Stewart, Account of the Life and Writings of Thomas Reid, D.D. F.R.S.

As I said, this is a very small selection. And this does not include materials like correspondence and journals that shed light on thought by shedding light on lives. Biography is one key way of doing history of philosophy; it is not a second-rate way, but a way that has its own importance and value.