Archives of American Art - The AAA was founded to collect and make accessible documents surrounding works of art such as artist's scrapbooks, letters, and dealer files. While some private musuems have also collected dealer records (most notably, the Metropolitan Museum of Art, NY), the AAA, part of the Smithsonian, will list collection-level records. They also attempt to microfilm and lend via interlibrary loan the records they have.
Art, Antiquity and Law (HeinOnline Legal Database)
Worldcat - look up auction firm (especially defunct dealers and houses) to learn where archives are held.
Lugt, Frits, 1884-1970. Répertoire des catalogues de ventes publiques, intéressant l'art ou la curiosité, tableaux, dessins, estampes, miniatures.
The Hague: M. Nijhoff, 1938. 4 vols. Lilly Locked Stacks N8650 .L8 1938 - collected printed sales lists of works of art sold from the 16th-19th centuries.