The standard hardcover legal research guides are Kent Olson's Principles of Legal Research (successor to Cohen & Berring's How to Find the Law) and Barkan, Mersky and Dunn's Fundamentals of Legal Research (formerly by Jacobstein & Merskey). Both are published by West.
Legal Research Methods in a Modern World: A Coursebook (DJØF Publishing) covers legal research from a global perspective. Click here for more information about the book. Another option: Legal Research Guide: Patterns and Practice by Roberts and Schlueter (LexisNexis).
Many states have their own legal research guides. These are discussed in the the entries for the individual states.
Law School Guides: Some law school libraries post top quality explanations of how to do legal research on their Web sites. You can search for and through these guides using the Cornell Law Library's Legal Research Engine.