Hrm ... lemme think
Acolyte has already mentioned the Illuminati trilogy; there's also
Everyting is Under Control, also by Robert Anton Wilson, which is a nice Encyclopedia style book with all kinds of conspiracy wackiness (including the
Church of the Subgenius).
A History of Secret Societies by Arkon Daraul (which I understand is a pseudonym) can also be useful. You can probably find it Used fairly easily. It's dated (written back in the 60's), useless as far as serious scholarship goes (no bibliography, and no research evidence or citations given to back up the author's claims), and extremely vague. That said, it's fine for a brief introduction to a number of secret societies, including the Illuminati, Rosicrucians, Templars, and Assassins. It'll give you a rough idea of what they are, though heavily tinted through the lens of the author. Also, for Delta Green fans, you can find a little bit about the real world Skoptsi (Russian Christian sect which was heavily into ritual castration).
For fiction, Dan Brown's books are good: both "Angels and Demons" and the "Da Vinci Code" are worth the price of admission. The first deals with the Illuminati, the second with the Priori de Sion. His next book is supposed to be about the Free-Masons (who, as we know from the bacteria encrusted upon Smithers' face, control the country).
For RPG's, there's Dark Matter (one of the campaign settings from TSR's shortlived Alternity line), Secret Societies for Nephilim (by Kenneth Hite), and, well, actually damn near anything by Kenneth Hite, especially the GURPS Suppressed Transmissions books.