You can find a listing of where to buy many of these in the Buyer’s Guide. Note that I am not listing strategy guides here, because you can find those for virtually every official game.
You can find a listing of where to buy many of these in the Buyer’s Guide. Note that I am not listing strategy guides here, because you can find those for virtually every official game.
This is a young-adult novelization of the game Mega Man 2. It is listed under the author “F. X. Nine” but inside the book authorship is credited to Ellen Miles. I bought a used copy of this years and years ago and kept it around. Although it follows the game to a degree, it has a completely wacky order and does some wild things (such as, you know, turning Mega Man human). Actually I borrowed (stole) a few aspects from this book for The Series (yes, I admit it), except there Mega Man is turned into a living machine instead of a human.
This list is not necessarily complete, but does cover the highlights. For art books that are available in English, I list only the English variants. See the Buyer’s Guide for some links on where to get these.
This is an art book but also contains lots of screen shots and information about the characters and environments in the Zero series games.
A translation of the Japanese “R20” book which contains sketches and production artwork from the original series and the X series. Used to be the only place you could find some of these drawings were in the manuals or on obscure Capcom posters, stickers, and other giveaways. Now you can buy them in a book. What’s the world coming to, I tell you what. 
Contains sketches and production artwork from the X series. Split off from the original Japanese “R20” book.
A translation of the Japanese “R20+5” which is the updated version of “R20” (above). Includes original and Mega Man X series stuff. It came late enough to include Mega Man 9 and Mega Man 10.
Contains artwork and various commentary on the Battle Network series.
Contains artwork and such on the Star Force series.
This is essentially the Robot Masters and major characters portion of the Data Base in the Complete Works put into book form, with more artwork, and text that goes into greater detail than the game’s scant entries. Aside from what comes from the various games themselves, I’m not certain where the information is from, whether Udon made it up or Capcom supplied it somehow, since I couldn’t find attribution anywhere.
This is a collection of fan-art published by Udon. It includes art from some well-known professional artists such as the artist of the Megamix (and other) manga that was recently released in English.
This is more of a compendium than an art book, and was released around the time of the Complete Works game in Japan. It contains much of the same information that you can find in the Complete Works database. There is also a book that covers games 4 • 5 • 6; however, I do not presently have a copy to scan.