Gary Loew came to his interest in censorship due to its intersection with his collection of wartime airmails. He has suggested that it would be useful for non-specialists in our field to have a basic library list. Someone suggested "the CCSG library," but I think that is hardly basic. My suggestions below are designed to deal with the bulk of censored mail that the average postal history collector will be most likely to encounter. Thus, while I am aware that there are excellent chapters and even books on the censorships of the Dutch East and West Indies, Romania, the Chaco War and Interwar and post-WWII Germany, etc., I am leaving them off of this first entry. I expect that the listing below will not be seen as exhaustive, so feel free to post additions. When the dust has settled I will turn this into an article for the CCSG Bulletin and will offer it to the Philatelic Literature Review.
There is only one general book, K.K. Wolter's Die Postzensur (2 vols), published 50 (yes 50) years ago. If your interest is solely WWII, you probably don't need it, but it does cover non-WWII material likely hard to find elsewhere.
Riemer, K.H., Die Postüberwachung im Deutschen Reich durch Postüberwachungsstellen 1914-1918 (now 40 years old)
Thielk, H. Zivilpost-Zensur in Oesterreich-Ungarn 1914-1918. (1989)
Deloste, C., Histoire Postale et Militaire de la Guerre de 1914-1918 & Histoire Postale et Militaire de la Guerre de l'Armée d'Orient 1915-1920
What there is for US censorship is a chapter in Van Dam, T., ed.: The Postal History of the AEF, 1917/ 1923, 2d ed (1990; a third edition has been in the works for the last couple of decades)
To the best of my knowledge, there is no single source for British and Italian censorship during WWI.
Heller, Ernst, Town Censor Marks of Spain, 1936 – 1945
For the UK and the British Colonies, the CCSG catalogs (see book list on this site for titles).
Broderick and Mayo: Civil Censorship In the United States During WWII (1980)
Deloste, C.: Histoire Postale et Militaire de la Deuxième Guerre Mondiale 1939-1945 (covers France and Colonies)
Landsmann, H.: Die Zensur von Zivilpost in Deutschland im 2. Weltkrieg (2008) (a welcome update to the Original work on this area by K. H. Riemer)