Ehrich Weisz may not have had much formal education, but he grew up to be Harry Houdini, self-educated stunt performer, escape artist, and owner of "one of the largest libraries in the world on psychic phenomena, Spiritualism, magic, witchcraft, demonology, evil spirits, etc., some of the material going back as far as 1489." Houdini bequeathed much of his collection to the Library of Congress, which received 3,988 volumes from his collection in 1927, including a number of magic books inscribed or annotated by well-known magicians. Archive.org has more of the Harry Houdini Collection online. He also put a great deal of research into his tricks, as seen in his letter to Dr. W. J. McConnell, a physiologist at the U.S. Bureau of Mines, written up after Houdini's watery grave stunt in 1926.
The Essence of Line is a collection of over 900 drawings by French artists "from Ingres to Degas" by the Baltimore Museum of Art. I'd link to some highlights but the site did such a stellar job of it that I'll just direct you there. They also have some sketchbooks. Note that some of the drawings have short essays about them. As a related link, here is the famous Demonographia, with drawings of demons by Louis Breton and descriptions by Collin de Plancy.