Federer, I'm sure, has a ton of money. Federer likely has a net worth in the hundreds of millions. He seems to be a smart businessperson and a good guy too in that he does a lot of charity work. Good for him!
As far as some other players, I'm sure McEnroe has built up a tidy sum over the years. My favorite player, Bjorn Borg, had some financial troubles though he was worth a 100 million plus when he retired in 1982. Yet, now it seems like he's doing pretty well financially due to his clothing line, which is second only to Calvin Klein in Sweden now.
McEnroe's contemporary Borg, when he retired, owned many homes, and a Monte Carlo penthouse, while also owning a small island off the coast in Sweden. Yet, personal troubles led him to waste his fortune before he made a comeback with his clothing line. I'd be surprised if he wasn't a multi-millionaire once again now.
Yet, the richest "Tennis Figure" has to be Mr. Ion Tiriac.
He's the former coach of Vilas and Becker, and doubles partner to Illie Nastase. He was seen as pretty "gruff" and eccentric, but he knew his tennis that's for sure and was quite good as a player as well. He is Romania's first billionaire.
See this article about him selling his 49% stake in Mercedes Benz Romania:
http://www.neurope.eu/articles/Billionaire-Ion-Tiriac-sells-Mercedes-stake/97869.php
See an excerpt from Wikipedia on him:
"Following the collapse of communism in Romania, he started numerous businesses and investments back home. In 1990, he founded Banca Ţiriac, the first private bank in post-Communist Romania. Between that and several other enterprises (retail, insurance, auto leasing, auto dealerships, airlines, etc.), his fortune was estimated at over $900 million as of 2005[update].
Ion Ţiriac became the first Romanian[3] to enter Forbes' List of billionaires in the 2007 Forbes rankings, placing number 840 in the world. His wealth was estimated at $1.1 billion as of 2007[update], according to the magazine."
http://en.wikipedia.org/wiki/Ion_Ţiriac