A Moveable Feast by Ernest Hemingway
Hemingway's memoirs from the time he spent living in Paris in the 1920s. Mostly focuses on struggles with money, and meeting the right people to help his burgeoning career as a novelist. Juicy bits about other Lost Generation writers like Stein and Fitzgerald.
Down and Out in Paris and London by George Orwell.
A book that is is more about the other side of the années folles in France: rather than Hemingway's bohemian lifestyle of, this is the perspective of a guy working in a kitchen. Describes the hot and frantic life as a lowly employee in the bowels of the grand hotels.
Tropic of Cancer by Henry Miller
A contender for most definitive Lost Generation novels set in Paris. It's another one about being an American living in Paris in the 20's, and it's essentially a memoir thinly disguised as a novel. Compared to the straightforward memoirs above, it's more about sex than money.
See for comparison The Sun Also Rises, which isn't on this list because it's not about Paris, but shares the qualities of being a roman à clef that's concerned with sex. Maybe it's okay to make memoirs about money, but sexual matters must be attended to with at least a little obfuscation?
The Crimes of Paris by Dorothy Hoobler
It opens with the most wistful and romantic depiction of the world of belle époque Paris that I've read. It's about art theft, specifically the theft of the Mona Lisa from the Louvre in 1911.
In Search of Lost Time by Marcel Proust (haven't finished)
Not strictly about Paris, and taking place mostly before the turn of the century. Still, it's a good'un.
Exile's Return by Malcolm Cowley (haven't read)
To me, Cowley is a lost Lost Generation memoirist. All I know is that this book is highly regarded as a memoir of the American expat scene in the 1920s, and that Cowley was disliked by many of his peers, though in secret, because of his position in the literary world.