How sad! According to Wiki, although they were married only 4 short years, she was the love of his life. On the day they first met, he journaled in his diary "As long as I live, I shall never forget how sweetly she looked, and how prettily she greeted me." How sweet. He was such the romantic poet. Sadly, on the day Alice died, T.R.'s mother also passed away. That is a lot for a young man of 25.
His diaries and other papers (approx. 250,000 items in all!) are housed in the Presidential Papers, Manuscript Division of the Library of Congress. Read more of his diary entries here, here, here and here. Purchase Theodore Roosevelt's Diaries of Boyhood and Youth here.
Also, if historical love letters are your thing, I recommend Love Letters of Great Men which I received as a Christmas gift. It is quite lovely.