I just started going through a complete ten-volume set of encyclopedias from 1922 that I scored on Ebay. This has to be, without exception, the single most valuable purchase of Mythos-related reference material I've ever made. In one handy package you get a complete atlas of the world of the 1920's, a guidebook to the latest scientific and technological developments, hundreds of pictures and engravings, and a downright amazing prop that looks awesome on your game room bookshelf.
How much did it cost? Less than the Call of Cthulhu RPG rules and a single supplement . Encyclopedia sets from the 20's and 30's regularly go for $30-$70 on Ebay, which is a pittance for the amount of carefully researched period information you're getting. Even better, letting players pull a volume off the shelf and look up relevant articles is incredibly immersive.
I was lucky enough to find "Winston's Cumulative Loose-Leaf Encyclopedia", a post-bound set that allowed subscribers to update entries just by swapping in new pages for the old. Once I find a decent match for the paper I'll be able to add entries specifically customized for the adventure at hand whenever I want. The possibilities that opens up are endless.