[Originally posted 11 October 2008, 12:30 am.]
Quickly, because I'm completey exhausted after a hot and sweaty Jonathan Richman show...
The Library of Congress has an extensive collection of interviews and narratives created by writers working for the Federal Writer's Project (1936-1940), part of the Works Progress Administration. There are many documents (roughly 100, based on a cursory search) related to circuses and carnivals, including extensive interviews with trapezes artists, kootch girls, rousties, medicine showmen, and most of the seem to be part of a series titled "American Life Histories."
You can search just that collection (click the link above) or you can search a broader catalog of 35 collections that come under the heading "Culture, Folklife." This catalog also includes photographs, posters, region-specific narratives, etc.