I see that Mary Soames, daughter of Sir Winston and Lady Churchill, has died, and I must recommend again a book she edited, Speaking For Themselves: The Personal Letters of Winston and Clementine Churchill.
In the excerpt of an interview she gave to Andrew Marr shown here (scroll down), Lady Soames talks among other things of her father's 'Black Dog' and comments that she felt it was "kennelled" by her parents' happy marriage - of which the book is a portrait - and his interest in painting.
As to other collections of letters, the Mitford sisters (who were cousins of the Churchills, of course) were great letter writers, and if you're a fan of theirs I'd point you towards Decca: The Letters of Jessica Mitford edited by Peter Y. Sussman (short post here), Love from Nancy: The Letters of Nancy Mitford, edited by Charlotte Mosley, and the often hilariously funny The Mitfords: Letters between Six Sisters also edited by Charlotte Mosley, post here, and quotes here and here; that last is the one I'd choose if restricted to a single volume. Again, if their authors appeal, Mr. C. would suggest P.G. Wodehouse: A Life in Letters edited by Sophie Ratcliffe, and Selected Letters of Philip Larkin, 1940-85 edited by Anthony Thwaite.
Meanwhile, I have on my wish list Dear Genius: The Letters of Ursula Nordstrom, editor and 'midwife' to the likes of Charlotte's Web and Where the Wild Things Are, edited by Leonard S. Marcus; another Mitford volume edited by Charlotte Mosley, In Tearing Haste: Letters Between Deborah Devonshire and Patrick Leigh Fermor; and What There Is To Say We Have Said, the letters of Eudora Welty and William Maxwell, edited by Suzanne Marrs.Waiting on the TBR pile is Letters of Note: Correspondence Deserving of a Wider Audience compiled by Shaun Usher.
Are there any other volumes of letters you'd recommend?