The Last escape is, indeed, an excellent book. I read it a couple of years ago, and really should go back to it.
Another excellent introduction to the subject is
POW: Allied Prisoners in Europe, 1939-45: Adrian Gilbert:. If you are intrested in Bomber Command POWs, then this is a must
Footprints on the Sands of Time: RAF Bomber Command Prisoners of War in Germany 1939-45: Oliver Clutton-Brock.
I have heard that this is good but have yet to read it
We Flew, We Fell, We Lived: The Remarkable Reminiscences of Second World War Evaders and Prisoners of War: Jimmy James,Philip LaGrandeur
And of course there are the classics on Colditz, and the Great Escape (too many books to list) and this is a fine example
Lie in the Dark and Listen: The Remarkable Exploits of a WWII Bomber Pilot and Great Escaper: Ken Rees,Karen Arrandale
One shouldn't forget the Far East, of which classics are
The Railway Man: Eric Lomax and
Surviving the Sword: Prisoners of the Japanese 1942-45: Brian MacArthur