What books can be read to get more understanding of life for the Jews during Exile and the first part of their return? Say Ezekiel-Nehemiah or there abouts?
I asked a friend and he recommended Berquist, Judaism in Persia's Shadow. I know nothing about the book or the author other than it's widely referenced and influential.
The standard histories of Israel include extensive sections dealing with Exilic Israel. Provan/Long/Longman is probably the best history of Israel in one volume. The new Dictionary of the Old Testament Historical Books is also an outstanding and up to date resource (it also includes a complete history of Israel and has thirty humongous-sized pages dealing with the history of the Exile). Other than that, I would recommend buying excellent commentaries on the Exilic prophets. My recommendations are here and here.