Gutenberg

No, not the guy from Police Academy (though the series did really decline after he left, but public domain books from the Gutenberg site. E. Gary Gygax didn't have much of a formal education, but he read a lot of old books. Many you can't find on library shelves any more, but fortunately, some of these are available at Gutenberg.

Reference

Armor & Weapons by Charles John Ffoulkes - Wonder where D&D armor came from? Things like banded mail and scale mail and ring armor? Well, here you go. EGG cites it in the DMG. Also has a number of illustrations that can be useful.

Ancient Armour and Weapons in Europe by John Hewitt - While this was never cited, it's a book from the same era and also mentions banded mail. The illustrations are a bit cruder

Ficticious and Symbolic Creatures in Art by John Vinycomb - This is almost a monster manual of European monsters, at least those used in heraldry.

Legends

The Fairy-Faith in Celtic Countries - This is one of the biggest resources for stories about faeries.

The Mabinogion Vol 1, Vol 2, Vol 3 (revised) or the original. This is pretty much the collection of Celtic stories

The Legend of Charlemagne - Not as popular as King Arthur, but essentially in the same vein, only with Paladins instead of Knights of the Round Table. Bulfinch.

The Age of Chivalry - King Arthur and some of the Mabinogion tales. Bulfinch.

Age of Fables - Bulfinch again, this time with Greek and Roman myths

Useful for Art

The Catacombs of Rome - A lot of dungeons are catacombs, and there is a lot of art here that could prove useful. Also sort of interesting, it really is a megadungeon, just add a necromancer and animate dead.

Broad-Sword and Single Stick - A small number of sword drawings.

Fictitious & Symbolic Creatures in Art -  Just what it sounds like, critters.

Jaufry the Knight - Fantasy illustrations by Dore! Quality isn't the best, but some are quite nice.

Mythical Monsters - Mostly dinosaurs and other real but extinct critters, but some dragons and sea serpents.

Keltische Mythen en Legenden - This is a german version of Celtic Myths & Legends, but has a lot of nice artwork, albeit Celtic themed.

Romantic Ireland - Lots and lots of Castles

The Story of My Life (and Vol 1) - Apparently the guy visited lots and lots and lots of castles.

A Tour Through the Pyrenees - Lots of art by Dore and a similar artist. Mostly landscapes, but some knight stuff and a great picture of a giant monster's bones