I think the most iconic work to come out of that scene was Hemingway's memoir "A Movable Feast" (http://en.wikipedia.org/wiki/A_Moveable_Feast). Other works of his like "The Torrents of Spring" and "The Sun Also Rises" are also great.
The former was about Gertrude Stein, who in many ways embodies the Lost Generation. And I would be remiss in failing to mention Fitzgerald, who in my opinion was the finest author of that circle. He wrote one of my favorite books, This Side of Paradise (and though it was neither written in France nor is it about France, it deserves wholeheartedly the Lost Generation tag). He also wrote, of course, Tender is the Night, a quintessentially depressing novel set on the Riviera about the sorts of American expats who populated it.