Vienna, Paris, Munich & Berlin.

I love these four books from Thames & Hudson, grab them while you can. I think the Berlin one is now virtually out of print.

Vienna 1900 And The Heroes Of Modernism by Christian Brandstätter.
Paris Between The Wars by Vincent Bouvet & Gérard Durozoi.
Munich: It's Golden Age Of Art And Culture 1890 - 1920 by Rainer Metzger.
Berlin In The Twenties by Rainer Metzger.