The New York Public Library digital collection has a huge (700,000 plus images) collection of material including much of interest to wargamers. I found the collection of cigarette cards to be fun.
http://digitalgallery.nypl.org/nypldigital/index.cfm
On a more specifically military note the Anne S.K. Brown Military collection is a most interesting collection of largely contemporary material featuring prints, watercolours and drawings. It may be a bit short on hard information but is very evocative.
http://library.brown.edu/cds/askb/
Dave Turner