Supermen! The First Wave of Comic Book Heroes 1936-1941 from Fantagraphics is a good selection of early hero strips. There's also the Marvel Masterworks and DC Archives covering the period, with the Masterworks having the advantage of containing whole comics, so the back-up features can be seen in context. DC's All Star Comics Archives Volume 0 and DC Rarities Archives also contain whole comics.

For individual artists, there are the Bill Everett and Fletcher Hanks books from Fantagraphics (Amazing Mysteries and the forthcoming Heroic Tales for the former, I Shall Destroy All The Civilised Planets and You Shall Die by Your Own Evil Creation for the latter).