The most complete and objective life of Shakespeare I know is Samuel Schoenbaum's magisterial summary of the known evidence, "Shakespeare's Lives."
There is plenty more detail and speculation, of course, in hundreds and thousands of books, including whole industries on whether Shakespeare was Protestant, Cathlic, or agnostic, but that's a good one to start with, if you don't mind reading 800 pages. It's very well done.
Sounds like a great read, Cicero! Thank you so much for the book recommendation!