Just another GR refugee. Other than that, I had a stroke in 2004, and read almost anything I can get my hands on, though I have a particular weakness for history, mystery, and historical fiction.
Thomas Penn's Winter King is not really a biography of Henry VII, and more a study of what he was directing his government to do in his name. (We certainly can, and do, decide what sort of king Henry was based on what he had his government get up to, however.)
The organization is curious, certainly not traditionally chronological (it starts in medias res, in 1501, and he had been king since 1485), and not properly thematic, either. It does seem to work, however - you just have to go with the flow of the narrative.
Henry seems to have kept control over his kingdom, and done much to break its great lords of their habit of rebellion by employing many spies, essentially running a criminal operation, and what Penn calls (using what I believe is a term from the English legal code) "threatening with menaces." His spies and informers were everywhere. People whom he didn't trust were "encouraged" (if necessary by summary imprisonment, or worse) to pay fines to the crown, for offenses they may or may not have committed, and then take out bonds not to do it again, which their wealthy neighbors were forced to sign, as well. Henry made a lot of money off this.
This was not, however, sufficient to make Henry VII the richest ruler in Europe (which by the early 1500s he probably was) - he also engaged in gray-market alum trading. Why alum? It was extremely valuable, was essential to the textile industry (the heart of English trade), and the only source of it in western Europe was controlled by the Pope. When Julius II came to the papal throne in 1502, he doubled the tax on it. The Turks, however, controlled a plentiful supply, which good Catholics weren't supposed to buy. (Julius claimed the money from the alum would go to funding a crusade.)
So Henry's bankers in Genoa got financing from Henry (and the loan of ships from his navy) to go to Turkey, buy cheap alum, and ship it to England, where Henry would collect a tax on it, clean its source through creative bookkeeping, and then sell it to merchants, who also taxed it before it got to the textile market. Even after all that taxing, it was still cheaper than the Pope's alum, and sold well, so Henry made a mint.
What I found particularly interesting was that Henry's natural tendency, which was that if his subjects could not love him, that they would fear him (he was the very model of a Machiavellian ruler, from what it sounds), exploded in the last third of his reign, and seems to have been set off by the death of his wife, Elizabeth of York (whom he clearly adored). Her death was a great political loss as well as a personal one, as her claim to the throne was much better than his own, and there was many a Yorkist in the kingdom who had tolerated his rule mostly because of his wife.
We also get glimpses of Henry VIII, whom his father was grooming to be king, of Catherine of Aragon, and of figures that would later rise to greater prominence at his son's court, particularly Charles Brandon, Thomas (not yet a Cardinal) Wolsey, and Thomas (not yet a saint) Moore.
I'd recommend this to anyone interested in the reign, or in Empson and Dudley, Henry VII's chief enforcers, of whom we learn much, but little positive.