A couple of really good books I'd recommend (for the intel 8086) would be the "The 8086 Project book" and the radio shack "Understanding Digital Computers".
Those books are a great start to this kind of hobby.
For those of you in the Valley, you can find the book that started me on this project at the Santa Clara library. It's the first edition of "Microprocessor System Design Fundamentals" by Kenneth J. Breeding.
It's not a great book, but it's one of very few publications (apart from the databooks) that explain the 6809 architecture.
My library used to have the 8086 project book. When I was young I used to drool over the projects in it for hours but I never had the resources or the knowledge to build anything. I might have to check it out again now that I have both.
Those books are a great start to this kind of hobby.