A short list of my favourites would be the following;
Paul Kitchen - Win, Tie or Wrangle. An absolute must read. It's so much more than just a history of the Ottawa Senators, though it is the Senators Historian's holy book. This is pretty much required reading for anyone interested in pre-Stable 6 era hockey history.
Joan Finnigan (Frank's daughter, BTW) - Old Scores, New Goals. It's not as good as Paul Kitchen's book, but it's still definitely worth reading. It provides some different insights, as well as a history of the 1935-1955 'Senior Senators,' and the revival of the Senators.
William Brown - The Montreal Maroons.
Michael Hiam - Eddie Shore and That Old Time Hockey
Eric Whitehead - The Patricks: Hockey's Royal Family
- Cyclone Taylor
Frank Cosentino - The Renfrew Millionaires
D'Arcy Jenish - The Montreal Canadiens: 100 Years of Glory. This is the authoritative history of the Habs.
The SIHR's recent anthology 'Pucklore' is also necessary reading. Amongst other things (I'll admit to only being halfway through it, as I had trouble getting a copy), it has articles on the evolution of the goal net (Kitchen), The Philadelphia Quakers, and the first time NHL teams faced off in Europe, 1938. There's also an excellent article about how the Irish Montrealers were instrumental in luring French-Canadians into the realm of professional hockey, and how their relations within the Classical Colleges were the cause of this. A lot of French-Canadians got their starts with clubs such as the Montreal Shamrocks!
If you have a specific interest in the History of the Ottawa Senators, try to get your hands on the Ottawa Historical Society's pamphlets 'Match Penalty (Demise of the Senators)' by Shaun Bugyra, and 'The Dey Brothers' Rinks - Home to The Senators' by the eminent Paul Kitchen.