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.
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.
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