There are a few key reference books for paper money.

Standard Catalog of United States Paper Money, 13th edition,
Krause Publications, by Chester L. Krause and Robert F. Lemke,
costs about 22 dollars and contains 14,000 market valuations and
550 photos.  If you're starting in most US paper, you want this book.

Standard Catalog of World Paper Money, Volume II, General Issues,
7th edition, by Albert Pick, Krause Publications.  Costs about 55
dollars and contains your basic national paper money.  1280 pages
and 10,000 black and white photos.  If you're starting in world paper
money, you want this book.  The 7th edition came out in April 1994 and
has notes up to around Feb 1994, which includes all of the new
countries up to that point.

Standard Catalog of World Paper Money, Volume I, Special Issues,
7th edition, By Colin Bruce II and Neil Shafer, Krause Publications.
Costs about 55 dollars and contains state, provincial, and commercial
bank issues not covered in Volume 2.  Has 1056 pages and 8,000
black and white photos.  Massive.

Standard Catalog of Modern World Paper Money, Volume III, 2nd edition,
by Colin R. Bruce II and George S. Cuhaj, Krause Publications.
Costs about 30 dollars and covers world notes from the last 30
years.  It includes lots of stuff not found in Volume II (but
presumably, there is some overlap).  Has 600 pages and 5,000
photos ("hundreds not found in Volume II"), softcover.

Standard Catalog of United States Obsolete Bank Notes
By James Haxby, you guessed it, Krause Publications.  Costs
195 dollars and is the mother of all obsolete bank note books.
Many of the states have their own books which are considerably
cheaper.  Check first before blowing 200 dollars on this 4 volume
set.  For instance, Rhode Island obsoletes are covered by the
excellent book by Durand on the subject (which costs around
25 dollars).

Confederate States Paper Money, by Arlie R. Slabaugh
as always Krause Publications (get used to that name).
Costs about 13 dollars.

Confederate and Southern States Currency
Grover Criswell, don't have any more info on it.

Early Paper Money of America, by Eric P. Newman
Krause, around 50 dollars.  Primarily Colonial paper money.

Paper Money of the United States, by Robert Friedberg.
Coin and Currency Institute, Inc.,  P.O. Box 1057,
Clifton, NJ  07014

Comprehensive Catalog of U. S. Paper Money Errors
Frederick Bart

POW and Concentration Camp Money of the 20th Century, 2nd edition
Lance Campbell, BNR Press, Port Clinton OH USA, about US$25

Also, Neil Schafer has a Depression scrip book.