Below are my personal recommendations as the best toy soldier books, especially for those interested in collecting vintage(pre-1966) lead hollow cast Britains figures.
The Collector's All-Colour Guide to Collecting Toy Soldiers by Andrew Rose(relatively inexpensive, beautifully illustrated with almost-to-scale color photos of sets and figures from the great toy soldier manufacturers of the past*).
Regiments of All Nations by Joe Wallis(the must have "bible"of postwar Britains to 1966)
Armies of the World by Joe Wallis(same format as above for Britains made between 1925-41)
The Great Book of Britains by James Opie(encyclopedic in its depth, covers 1893 to early 90s)
Britains Toy Soldiers 1893-1932 by James Opie
Collecting Toy Soldiers by James Opie
Opie's Price Guide to Britains(companion to above Great Book, a handy pocket reference for set numbers, date ranges, and rarity ratings. Price guide circa 1994)
The Honourable Henry N. R. Jackman Collection of Toy Soldiers in the Royal Ontario Museum by K. Corey Keeble
The Art of the Toy Soldier by Henry Kurtz and Burtt Ehrlich
Collecting Foreign-Made Toy Soldiers by Richard O'Brien
The Britains Collector's Checklist by Joanne and Ron Ruddell
Collectors' Guide to Britains Model Soldiers by John Ruddle
Toy Armies by Peter Johnson
Heraldic Miniature Knights by Peter Greenhill
Old German Toy Soldiers by Hans Roer
Britains Ltd. catalog reprints and facsimiles:
1906 catalog reprint
Late 30s catalog reprint(year not stated, published by Ladd Publications, 1968)
1939 catalog reprint
1940 Toy and Model Catalogue(Almark Publications, 1972)
1953 facsimile(published by the Old Soldier, Cambridge, England)
1958 facsimile(unknown publisher)
1958 catalog reprint(reproduced by Stewart D. Saxe, Toronto, 1980)
And for those who collect Britains non-military lead figures, you can't beat Britains Civilian Toy Figures by Norman Joplin, etc.
*Note: a first edition(1985)of Rose's book sold at auction in 2006 for 45GBP(approx. $87). So, better snap it up(try Advanced Book Exchange(ABE) or Powell's Books)before this book too becomes overly pricey. Later editions have been published by Tiger and Salamander(1997)and these are available for much less.