Many of the answers already given are excellent. So I will simply add some additional resources that you might find useful. First of all, there are the following two seforim on aggados that were not mentioned yet:

• R' Yakov of Lissa (author of the Nesivos HaMishpat) wrote a commentary on Aggados titled Emes L'Yakov.

• R' Yosef Shaul Nathansohn (author of the Shu"t Shoel U'Meishiv) wrote a commentary on Aggados titled Divrei Shaul.

In general, however, the main place you find in depth discussions of aggados is in the classic sifrei drashos. Many of these works are now printed with indexes which can enable you to quickly find any discussion of a specific passage. Among the most prominent of such works (including some personal favorites) are:

• Derashos HaRan

• Sefer Parshas Derachim by R' Yehuda Rosanes (the Mishneh L'Melech)

• Sefer Bina L'Itim by R' Azaria Figo

• Drashos Mahari Mintz

• Sefer Olelos Efriam by R' Ephraim of Luntchich (the Kli Yakar)

• Sefer Michtav M'Eliyahu from R' Dessler (the fourth volume has a comprehensive index).

There are of course, many, many more such works. Some of the other answers have mentioned recent works that have attempted to help one find these materials, however, there remains a great deal of material that has yet to be generally indexed.

Many of the answers already given are excellent. So I will simply add some additional resources that you might find useful. First of all, there are the following two seforim on aggados that were not mentioned yet:

• R' Yakov of Lissa (author of the Nesivos HaMishpat) wrote a commentary on Aggados titled Emes L'Yakov.

• R' Yosef Shaul Nathansohn (author of the Shu"t Shoel U'Meishiv) wrote a commentary on Aggados titled Divrei Shaul.

In general, however, the main place you find in depth discussions of aggados is in the classic sifrei drashos. Many of these works are now printed with indexes which can enable you to quickly find any discussion of a specific passage. Among the most prominent of such works (including some personal favorites) are:

• Derashos HaRan

• Sefer Parshas Derachim by R' Yehuda Rosanes (the Mishneh L'Melech)

• Sefer Bina L'Itim by R' Azaria Figo (the hebrewbooks.org edition is almost unreadable)

• Drashos Mahari Mintz

• Sefer Olelos Efriam by R' Ephraim of Luntschich (the Kli Yakar)

• Sefer Michtav M'Eliyahu from R' Dessler (the fourth volume has a comprehensive index).

There are of course, many, many more such works. Some of the other answers have mentioned recent works that have attempted to help one find these materials, however, there remains a great deal of material that has yet to be generally indexed.