There's the FBI file:
http://www.amazon.com/Albert-Anastasia-Federal-Bureau-Investigations/dp/B002N8B6L4

Which I think you can read for free at "the Vault"
http://vault.fbi.gov/Albert%20Anastasia

Not strictly about Anastasia but apparantly Burton Turkus' book on Murder Inc. has some good info on the man.


(cough.)