There are plentiful resources relating to Hadrian’s Wall that are freely (and legitimately!) available on the web, mostly PDFs.
Breeze, D. J. Jilek, S. and Thiel, A. 2011: Frontiers of the Roman Empire: Hadrian’s Wall, Hexham http://bit.ly/ApY0Ba
A general introductory account in three languages (English, German, and French).
Bruce, J. C. 1870–5: Lapidarium Septentrionale, or, A Description of the Monuments of Roman Rule in the North of England, Newcastle http://bit.ly/1ZJlQnB
Bruce, J. C. 1853: The Roman Wall, Newcastle upon Tyne http://bit.ly/rlnCiS
Collingwood Bruce’s other book on the Wall.
Bruce, J. C. 1895: Handbook to the Roman Wall, ed.4, Newcastle upon Tyne http://bit.ly/qqnPhq
The ultimate guide to Hadrian’s Wall.
Budge, E.A.W. 1903: Account of the Roman Antiquities Preserved in the Museum at Chesters, http://bit.ly/pGv5O4
The catalogue of the contents of Chesters Museum.
Horsley, J. 1732: Britannia Romana, London http://tinyurl.com/68z5kew
Horsley’s hugely influential account of his journey around Roman Britain. The section dealing with Hadrian’s Wall was pirated by John Warburton without so much as a by-your-leave for his Vallum Romanum.
Hoyer, M. 1908: By the Roman Wall; Notes on a Summer Holiday, London http://bit.ly/pjP43s
A gentle and endearing amble along the Wall. Leaving out the sordid and frankly uninteresting eastern end (much as the National Trail does these days) she calls in on the excavations at Corbridge and meets a nice young man (Leonard Woolley on his first dig) before setting off from Chesters. Worth the read just for the ride back from Port Carlisle on the Dandy Car.
Hutton, W. 1802: The History of the Roman Wall Which Crosses the Island of Britain, from the German Ocean to the Irish Sea, London http://t.co/6CmET5t2
Not only a (slightly confused) history but also an account of his walk along the Wall in 1801. The 78-year-old Hutton actually walked it twice, west to east then east to west, but only wrote about the east to west journey (thereby starting the odd and illogical craze to walk it from east to west). The account is rendered all the more piquant by the fact he walked from Birmingham and back again in order to indulge his passion to see the Wall. It is difficult not to like him, but it should never be forgotten that he began work at the age of five and later used to walk 14 miles between Southwell and Nottingham (and back!) every day.
MacLauchlan, H. 1858: Memoir Written During a Survey of the Roman Wall, London http://bit.ly/nuVjjo
MacLauchlan’s account of his ground-breaking survey of Hadrian’s Wall, undertaken for the Duke of Nothumberland.
Mothersole, J. 1922: Hadrian’s Wall, London http://bit.ly/oIV83k
A gentle, but academically well-informed stroll along the Wall with watercolours thrown in for good measure (although sadly colour printing could only be afforded for a few).
Rushworth, A. 2009: Housesteads Roman Fort – The Grandest Station. Excavation and Survey at Housesteads, 1954–95, by Charles Daniels, John Gillam, James Crow and others, 2 vols, Swindon http://bit.ly/1OkC3wv
The first volume Structural Report and Discussion covers the structural history, the second The Material Assemblages details the finds.
Symonds, M. F. A. and Mason, D. J. P. 2009: Frontiers of Knowledge: A Research Framework for Hadrian’s Wall, Durham in 2 vols (scroll down to Related Links at the bottom) http://bit.ly/1FiDvNa
The first volume of the Framework, Resource Assessment, is a useful detailed statement on what is known, the second, Agenda and Strategy, what needs doing.
Warburton, J. 1753: Vallum Romanum: Or the History and Antiquities of the Roman Wall Commonly Called the Picts Wall, London http://bit.ly/19OnGAQ
A masterful piece of cut-and-paste piracy. Great fun to be had sitting down with this and a copy of Horsley and working out what came from where!
Wilmott, T. 2009: Hadrian’s Wall Archaeological Research by English Heritage 1976–2000, Swindon http://bit.ly/1FiBBvW
Recent work along the Wall by English Heritage, including their milecastles project, excavation at Bowness, further work at Birdoswald, Coates’ 19th-century paintings of the Wall, and Charlie Anderson’s consolidation labour of love.
Wilson, P. 2011: Introductions to Heritage Assets – Roman Forts and Fortresses, Swindon http://t.co/dK4kQ2op
A useful and brief introduction.
You might also enjoy listening to the Hadrian’s Wall episode of BBC Radio 4’s In Our Time programme.