Libro de Juegos (The Book of Games) by Alfonso X of Castile.
Alfonso X (1221 - 1284), the King of Castile (now Spain) commissioned this book during his reign. The original is kept in the monastery of San Lorenzio del Escorial (roughly 50 miles northwest of Madrid. It is 98 pages, contains over 150 hand painted and illuminated drawings (pre-printing press) and is bound in sheep skin. A pdf file translation may be found at: http://jnsilva.ludicum.org/HJT2012/BookofGames.pdf
Medieval Games by Salamallah the Corpulent, Raymond's Quiet Press ISBN 0-943228-03-4,$10.00. I've also managed to track down about 3/4 of the books he lists in the Bibliography. Among them, I'd recommend the following two...
Traditional Games of England, Scotland and Ireland by Alice Gomme, orig. pub. London 1894. in 2 vol. repub. University of Toronto, $32. Normally, I avoid Victorian books as the scholarship usually tends to be nearly non-existant. These books however, are very well researched.
Board and Table Games from Many Civilizations by Richard C. Bell, Dover Pub., ISBN 0-486-23855-5, $6.50. My edition is "revised edition - two volumes bound as one" which makes it a bit confusing as the sequence goes; table of contents, text, bibliography, index, table of contents, text, bibliography, index.
The History of Playing Cards: with Anecdotes of Their Use in Conjuring, Fortune-Telling and Card-Sharping edited by Ed S. Taylor et al. Originally pub. London 1865, my edition is pub. by Charles Tuttle Co 1973, ISBN 0-8048-1026-5. No price listed on my copy. It doesn't have a bibliography :-(, but all of the direct quotes are adequately footnoted. The illustrations are all modern drawings of medieval cards :-( I would have preferred photographs, warts and all.
Games of the World: How to Make Them, How to Play Them, How They Came to Be edited by Frederic V. Grunfeld, Holt Rinehart & Winston Pub, ISBN 0-03-015261-5. My copy doesn't have the price listed on it. Richard Bell (see listing above) is listed as one of the consultants for the book. The book is documented to the nth degree with photographs of museum pieces and medieval manuscripts. Instructions on building boards and playing pieces are well written, well diagrammed and often photographed in intermediate stages of construction. Games are categorized into: Board & Table Games, Street & Playground Games, Field & Forest Games, Party & Festival Games, & Puzzles, Tricks & Stunts. Additionally the table of contents has cross-indexed each game for: Indoor or Outdoor; Solo, Pair or Group; Mental, Physical or Chance; Playing Time - Short, Medium, Long & Prepartion Time - Short, Medium, Long.
The History of Chess by H.R. Murray, $300, 900 pgs. orig. pub. 1913
A History of Boardgames Other Than Chess, $100, 280 pgs. orig. pub. 1913
The former may be considered the definitive book on Chess. The latter is the rest of his notes that didn't make it into the first book. They are both very scholarly, and somewhat dry in their presentation. Definitely a book for a historian, not a casual reader.
The Boardgame Book by Richard C. Bell. Nothing spectacular, but rules for most of common board games all conveniently in one volume.
There are two SCAdians who have taken an interest in Period Games and created their own webpage.
THFool Dagonell the Juggler has his webpage at: http://www-cs.canisius.edu/~salley/SCA/Games
Master Justin du Coeur has his webpage at: http://www.waks.org/game-hist