The good Yelena stories are in the Itsy-Bitsy Spider TBP. Unfortunately, the Pale Little Spider MAX mini, which stars Yelena, hasn’t been collected.
The other two feature mostly as supporting characters. Monica Chang first appears in Ultimate Comics: Avengers, and then as a recurring character in Ultimates books.
Jessica Drew first appears as Black Widow in All-New Ultimates, and she has a few good moments in that book. But I’d recommend her earlier appearances as Spider-Woman to understand the character. She first shows up in the Ultimate Clone Saga, and continues to show up in Ultimate Spider-Man, then later joins the Ultimates when that book becomes Ultimate Comics: Ultimates. This TPB guide to the Ultimate Marvel Universe will give you the reading order.
For Claire Voyant, I recommend The Twelve.