The recently published book The Hedge Fund Mirage: The Illusion of Big Money and Why It's Too Good to Be True (Wiley, 2012) is worth a long look. Based on the book's table of contents and a quick read of the first chapter, author Simon Lack's work is a calm, measured exposé. (Sample, later subchapters regarding investment costs: Fees on Top of More Fees and How to Become Richer Than Your Clients.)
A Bloomberg article about the book is here.
Prior posts about hedge fund costs are here (More about Hedge Funds, Their Costs, and Their Net Investment Returns) and here (Bloom Off Hedgies' Roses).