The first example that came to mind was

MR0270881 (42 #5764) van der Waerden, B. L. How the proof of Baudet's conjecture was found. 1971 Studies in Pure Mathematics (Presented to Richard Rado) pp. 251–260 Academic Press, London.

There, van der Waerden describes some of the history as well as his proof of his well-known theorem.

Another example:

MR2245898 (2007j:05091) Seymour, Paul. How the proof of the strong perfect graph conjecture was found. Gaz. Math. No. 109 (2006), 69–83.

From Wilson's review in Mathematical Reviews: "In this interesting and revealing paper, Seymour describes in graphic terms their assaults on the problem, the difficulties they came across, and the means they used to overcome these difficulties."