USA

Loretto Dennis Szucs, They Became Americans: Finding Naturalization Records and Ethnic Origins (1998).

Useful, if somewhat outdated, guide to finding naturalization records.

Loretto Dennis Szucs, Ellis Island: Tracing Your Family History Through America's Gateway (rev. edition 2001).

Small guide on the history of Ellis Island. It also has some tips on finding immigrant ancestors (whether they came through Ellis Island or not).

Read my review.

John Philip Colletta, They Came in Ships: Finding Your Immigrant Ancestor's Arrival Record (3rd Edition 2002).

A must-have guide to arrival and immigration records in the U.S.