The following texts were extremely helpful to me in creating my bibliographies:
Lindskold, Jane M. Roger Zelazny. New York: Twayne Publishers, 1993. --a biography
Sanders, Joseph L. Roger Zelazny: A Primary and Secondary Bibliography. Boston: G.K. Hall & Co., 1980.
Stephens, Christopher P. A Checklist of Roger Zelazny. Hastings-On-Hudson, NY: Ultramarine, (reprinted but not updated from '91) 1993.
These books are also worth checking out:
Krulik, Theodore. The Complete Amber Sourcebook. New York: Avon Books, 1996.
Krulik begins his book with an introduction by the Royal Scribe of Amber explaining how the text is essentially a translation of the book ordered by King Random to share more information with the Shadow Worlds. I thought it a nice touch. --By the way, if you don't know what Shadow and Amber are, or who Random is, I suggest you read some of the Chronicles of Amber first.
---. Roger Zelazny. New York: Ungar Publishing, 1986. -a biography
Yoke, Carl B. Roger Zelazny. Ed. Roger C. Schlobin. Starmont Reader’s Guide 2. West Linn, OR: Starmont House, 1979.Contains essays on:
A Rose for Ecclesiastes (depicted on the cover)
This Immortal
The Doors of His Face, the Lamps of His Mouth
The Dream Master
Lord of Light
Home is the Hangman
The Amber Novels
. . . And Other Stories
. . . and a very informative Introduction
---. Roger Zelazny and Andre Norton: Proponents of Individualism. Columbus, OH: The State Library of Ohio, 1979.