The important thing to remember about doing a book review is that it is different from a book report. You should be able to evaluate the author's source material and how he reaches his intended audience. Larson's book, in my opinion, is very well-researched, with newspaper articles from the period and books concerning the Chicago World Exposition. Also, the book was intended for the general population, not only academics. By intertwining the story of Holmes with the Exposition, one gets an idea that there were bad people back in "the good old days" just like there are in modern society. Larson's title is quite apt. You could also address the detail with which Larson addresses the construction of the fair's site—this gives the reader a view of the architecture of the period. Also, do not forget to write what you thought of the book and whether it was a compelling story for you.
If I had to write a brief thesis, I would say something along the lines of "Larson's ability to combine the story of a serial killer with something as magical as a World's Fair presents the reader with a great view of both the dangers and wonders of Gilded-era Chicago."