Is there any good text book or review papers that introduce high dimensional vector spaces and its peculiarities as compared to generic/low-dimensional vector spaces?
For example, high dimensional unit sphere $S^n$ ($n \gg 4$) has most of its mass near the boundary in an $n-1$ dimensional annulus. A treatise generically introducing linear algebra or vector spaces will not develop you intuition regarding the peculiarities of high-dimensional vector spaces, and will generally not spend a lot of ink on explicitly discussing the properties of them, since it is "generic".
It's possible you might be interested in Keith Ball's nice article ''An elementary introduction to modern convex geometry" and its references. It discusses many issues relevant to the geometric behavior you mention. It's available at http://page.math.tu-berlin.de/~Vybiral/GHS/ball.pdf