Hyrule Historia is pretty awesome. The History of Sonic The Hedgehog is not bad either. But for me, the best game series bible is Mega Man Official Complete Works. Released to celebrate the franchise's 20th anniversary, it contained production art and behind-the-scenes nuggets for every mainline entry and most spin-offs in the Classic and X sub-series. The Japanese original was a single volume, but UDON chose to split it in two for the Western release. Unfortunately, both are now out of print and command exorbitant secondhand prices.
UDON has just announced at PAX a bunch of new Capcom art collections for the second half of 2013. There are books for Asura's Wrath, Dragon's Dogma, Monster Hunter, and Street Fighter, but my eyeballs are squarely directly at the fifth item: MM25: Mega Man & Mega Man X Official Complete Works. Released in Japan late last year, this updated edition includes Mega Man 9 and 10 coverage plus new art and interviews. It also sounds like there will be additional material not found in the Japanese release, such as covers from the Archie comic series.
Of the five books, MM25 is first on the production schedule. It'll be released as a single volume this time, so it ought to cost less than what the original two books cost together. If you missed out on the first run, I urge you to get your wallets ready when MM25 arrives later this summer... hopefully. We all know how UDON is with keeping to a release schedule.