For The Last Light of the Sun a bibliography, even a brief one, has to cover more ground than usual, because there were three cultures I was trying to evoke and explore.
For the Vikings (my Erlings) the best single-volume history, to my mind, is Gwyn Jones's A History of the Vikings. I admit that part of my preference for Jones is his genuinely fine writing, but there's a lot more to it than style.
Else Roesdahl's The Vikings is also good, also a one volume overview. F. Donald Logan's The Vikings in History is another short overview, good on the evolution from raiders to settlers. Neither of these is as purely enjoyable as Jones, though.
I'll mention some other books. Peter Sawyer (who has done a good deal of impressive scholarship, and seems to be at the forefront of trying to mediate various 'feuds' as to the nature of Viking society) edited a handsome Oxford Illustrated History of the Vikings. All the essays are good, but I liked Sawyer's pair, and one by Simon Keynes, in particular.
The work of Jenny Jochens is at the forefront of a different, wider battle - feminist interpretations of history. Her Women in Old Norse Society gave me a lot to think about, with respect to the challenge of shaping room (in a superficially no-room-at-the-inn society) for my female characters. Carol J. Clover is also a major figure in this field, though to my knowledge her major writings are essentially in periodicals. There's a lot of work being done on the role of women in Norse/Icelandic culture. (I was given a dozen reprints of articles on the subject by my friend Kristen Pederson.).
Thomas A. DuBois wrote Nordic Religions in the Viking Age. It is useful, among other things, for extracting parallels between Nordic and Celtic and Anglo-Saxon beliefs, pre-Christianity. Similarities can be as interesting as differences. There are, of course, a myriad of modern retellings of the Norse myths, I won't select among them.
R. I. Page's Chronicles of the Vikings is a tidy sourcebook of original writings, both about the Norsemen, and from their sagas and funeral odes.
The sagas were and are indispensable. They shaped my thinking and the prose style of the book, including the 'sidebar lives' - as I like to call them. There are too many sagas for me to select among them here. Oh, well, one: if you read a single saga read Njal's.
Jane Smiley has edited a compilation called The Sagas of the Icelanders. Elsewhere, Lee M. Hollander's version of The Saga of the Jomsvikings gave me much to consider and work with in the interplay between legend and history, as to a mercenary subculture. (Hollander also did versions of the Poetic Edda and Njal's Saga.)
On the Anglo-Saxons, I started with Alfred. My own preferred overview is Richard Abels, Alfred the Great. There are dozens (at least) of books, though. One iconoclastic treatment is by Alfred P. Smyth: King Alfred the Great. I didn't find it sympathetic, but I'll note it for those who like contrary views of major figures.
Possibly the best-known general history text is Peter Hunter Blair, An Introduction to Anglo-Saxon England. I think I prefer the style of Sawyer (the same Sawyer as above) covering the same seven centuries in From Roman Britain to Norman England. I also liked and used James Campbell's illustrated The Anglo-Saxons, a lighter introduction than either Blair or Sawyer.
I love Ann Hagen's two books: A Handbook of Anglo-Saxon Food: Processing and Consumption and A Second Handbook of Anglo-Saxon Food and Drink: Production and Distribution. Tons of day-to-day information there, meat and drink (forgive!) for a novelist looking to distill (forgive!) elements of how an earlier time 'worked.' An associated book is Bill Griffiths, Aspects of Anglo-Saxon Magic. (Associated, because so much of magic spun off from food and drink, herbs and flowers.) In the same vein: Leechcraft, by Stephen Pollington, which picks up some of the same elements as to medicine.
The late Richard Fletcher (whose writings also helped me research The Lions of Al-Rassan) wrote an interesting northern 'case study' of murder and justice, called Bloodfeud ... it takes place after my own evoked period, but I found it engaging, and this note gives me a chance to lament his recent, premature death (and mention another major work of his I used: The Barbarian Conversion From Paganism to Christianity).
The Anglo-Saxon Chronicles are essential for the flavour of the times (and inducing thoughts about how we know the Vikings today very much through the writings of their victims). There's an illustrated selection by Anne Savage, and a more complete rendering edited by Michael Swanton.
A small book I've long cherished is The Earliest English Poems in the Penguin Classics series. It includes 'The Battle of Maldon' and 'The Wanderer', among others.
Poetry makes for a nice segue to the Celts, in this case essentially Welsh. I had Joseph P. Clancy's The Earliest Welsh Poetry by my bed during most of the writing of The Last Light of the Sun. The book inspired me to invent my triad game. The Forums of brightweavings suggest others enjoy the conceit as much as I did.
The Celts, seen in a broad way, are trendy these days, and there's much written about them, of varying quality. I can't come close here (without boring people in the extreme) to listing all the material I looked at. One of the best standard texts is still Nora Chadwick, The Celts. Barry Cunliffe (google him!) his written widely and eloquently on many aspects of Celtic history, religion, culture. So (a little more eccentrically, to my mind) has Jean Markale - and much of his work is translated into English.
John T. Koch and John Cary have edited a sourcebook (akin in concept to the Page book on the Vikings, above) called The Celtic Heroic Age and the third section of this was useful to me, again on Welsh poetry and legend.
The most comprehensive single volume on Wales I know is by John Davies, A History of Wales - but obviously it covers much more ground than the period I was using. Wendy Davies, Wales in the Early Middle Ages, was more specifically of aid, and she has several other books and papers on the period (google her, too).
Peter Beresford Ellis has written a great deal on Celtic culture. I used his Celtic Women in much the same way I used Jochens's work, and the articles I mentioned above, to focus my thinking on possible roles for women in my setting.
The Mabinogion is, of course, the flat-out must-read book for those interested in Welsh myth and legend. I use, largely for sentimental reasons, J.R.R. Tolkien's old copy of the Ellis & Lloyd translation, but there are many others.