Sonic the Hedgehog Book Store
If you don't have a local comic shop, Sonic comics & the trade books can be hard to get.
This easy page collects all of them together for you, but remember most of them are just compilations of all the old Archie Sonic comics. If you did not get a chance to collect all the individual comics, these volumes are a great way to get all the old art and stories inexpensively.

Other books appear here too, like the Sonic X episode 'novelizations' (really just small paperbacks with pictures added in from the show, and anything else of old that stores manage to get a hold of. More info can always be found on SonicGear.

All of these are the Archie collections flowing from left to right, lowest to highest. All the covers are by Spaz. imitating the style of the old Sonic Japan screen-saver art, but with Archie Sonic characters. You can read more about these on USA Archie Sonic Page on Sonicgear. By clicking the picture for each one, you'll be taken to a page to read more about it, including which issues are inside.
Sonic Select Volumes
The "Sonic Selects" are compilations of the Sonic Super Specials comics. These are also really useful because the super specials (by themselves, the individual comics) are becoming a bit more pricey, so it's nice to be able to pick up a bunch at once in a cheaper format. By clicking the picture for each one, you'll be taken to a page to read more about it, including which issues are inside.
Mike Pellerito, one of the Archie Sonic workers decided to release a Sonic Reference guide book of sorts. This link may be a pre-order link if you press it in 2009. (but it will still work, they'll just ship it out once the book this IS Amazon...) With how convoluted and over-populated the Archieverse got, it's no real wonder that someone wanted to make a guide for it.
Older books!

Because books were never that expensive, and were produced in large quantities (and kept) it's still possible to turn up books from the 1990s at retail even now. Some cover images may be unstable but they all appear around Sonic Gear on USA Books & UK books incase these links break their cover-photos. If you don't want to wait on ebay to buy some of these, do keep in mind they're limited quantity.

These are from the 1990s, so it's nice to still be able to get them, especially if one is a penny! The Adventure Gamebook is actually from the UK, so if you don't live there now's your big chance to get a copy.

The others are Teitlebaum books which were from the USA, but since they're so old, the images tend to break even if the book is still available.

Why is the "Sonic Look N Find" so expensive? It is like a "where's waldo" book. It is out of print, but so are the Teitlebaum books and they're way less money.
Sonic Shoes Blues and Sonic Secret Admirerer are both simply illustrated stories from the Archie universe. The activity book has simple mazes, word puzzles and color-able pictures. It may say by Teitlebaum, however it does use some Archie art in it.

The "Annual" is from the UK, and was never common in the USA.

The first one here is the "Where's Sonic Now 3" which while not as expensive as the first one, is still a bit pricey. The Joke book was never common, though it's pretty much thought to contain the worst jokes ever.

The last two are UK exclusives and were a part of a series of books--outside the UK? A good idea to try and pick these up here...

Friend or Foe is another Teitlebaum one, seen on USA Books, and 4th Dimension is from the UK exclusive series, seen above.

The "How to Draw" Sonic & friends book IS in the Sonic Gear collection. It is only ok, it's not particularly instructional, & uses a poor stock Tails image.

"Sonic Evolution of Hero" is actually a "Free Comic Book Day" item that is somewhat difficult to get. (so its not really that old)
Sonic The Story is the Fleetway STC version of the 'origin' of Sonic.

Some of these may be missing the cover photo (Sonic X-Treme) so you can see them on Books USA page of regular SonicGear.

Sonic X Books

These books are like 'novelizations' of certain Sonic X episodes or episode-clusters. They use screen shots from the show and stock art as illustrations. They all have fairly large print and only follow the series. They do have an order they go in (obviously, because the show did) and there should be about 4 or 5 books but the section here is incomplete.

Game Guides & Old Game Guides

Game guides can be interesting sources of Sonic art and screen shots. The older guides, while out of print, are now becoming interesting collectibles. The Sonic 1 & 2 one is in the SonicGear personal collection.

The "Solid Gold Guides" book to Sonic 2, may not be from the USA.

Guides displayed here should include Sonic 1 & 2 (oldest guide) Sonic Advance 2, Adventure 1, Sonic Secret Rings, Sonic Colors, Sonic Unleashed, Riders 1, Adventure 2, Sonic & Knuckles, Advance 1, & Heroes.

This is the "Totally Sonic Book". It's from spring 2014, and says it has "Stickers, Posters, Pictures & Facts" about Sonic inside. It should be around 6 dollars or so. It could be a good priced item, depending on what all is actually inside. Facts may be added by anyone who owns this over on the USA Books page where this item has its write up.