The most comprehensive source of information on the EU is at Europa, the official EU website.  For legal materials including cases, try Eur-Lex. 
 
Institutions (Bodies established by the European treaties.)
European Commission
Council
Parliament   
Court of Justice  
(Additional Institutions include the Economic & Social Committee, European Council, Court of Auditors, Committee of Regions, European Investment Bank, and European Central Bank.)
 
Legislation 
 
Primary (Also known as founding treaties or basic documents. Additionally, new member states must sign an accession treaty.) The most important treaties are: 
 
Treaty of Rome (Treaty Establishing the European Economic Community as amended through the Treaty of Amsterdam), 2002 O.J. (C 325) 33.
Maastricht Treaty (Treaty on European Union), 1992 O.J. (C 191) 1, consolidated version at 2008 O.J. (C 115) 1.
Treaty of Nice (amends existing treaties), 2001 O.J. (C 80) 1.
Constitution of Europe (unratified draft treaty designed to replace all existing treaties) 2004 O.J. (C 310) 1.
Texts:
 
Official Journal of the European Communities (C Series) (KJE908 .I54)
EUR-Lex
Basic Community Laws (KJE916 .B37 1993)
Encyclopedia of European Union Law: Constitutional Texts (KJE916 .E52)
European Union: Consolidated Versions of the Treaty on European Union and the Treaty on the Functioning of the European Community (KJE4442 .3 .E8734 1997)
European Union Law Guide (KJE947 .E97)
European Union Law Reporter (HC241 .2 .C68)
European Union: Selected Instruments Taken from the Treaties (KJE 4443. 31992 .A4 1995)
Folsom, European Union Law in a Nutshell (Reserve KJE949 .F55 2008)
International Legal Materials (JX 1 .I67) (HeinOnline) (Westlaw- ILM)
Smit & Herzog on the Law of the European Union(text & commentary) (KJE947 .S632)
Westlaw- EU-TREATIES
Lexis- EURCOM;TREATY
Status of Treaties:
Directory of Community Legislation in Force and Other Acts of the Community Institutions (KJE908 .D57)
 
Secondary
 
Regulations (binding on member states) (cited by number, then year)
Directives (framework statutes- binding upon enactment by member states) (cited by year, then number)
Decisions (binding on specific member states)
Resolutions, recommendations, & opinions (non-binding)
Implementing legislation (legislation of member states)
Sources:
 
All three types of binding legislation are found in the Official Journal (L Series) (KJE908.L43). Non-binding legislation can be found in the Official Journal (C Series).
Encyclopedia of European Union Law
European Union Law Reporter
Westlaw- EU-LEG
Lexis- EURCOM;LEGIS
Status:
Directory of Community Legislation in Force and Other Acts of the Community Institutions
European Communities Legislation: Current Status (KJE908 .2.L43 E87)
SCADPLUS (summaries of legislation) 
 
Sources for implementing legislation:
 
Butterworth’s EC Legislation Implementator (KJE908 .2 .L43 B87)
Reynolds and Flores, Foreign Law Guide: Current Sources of Code and Basic Legislation in Jurisdictions of the World (Reference K38 .R49 1989)
National Provisions Implementing Directives database (Lexis- EURCOM;NATPRV)
Draft Legislation (Also known as preparatory acts and published as COM documents. White Papers, Green Papers, and other reports may also appear as COM documents.)
Most are published in Official Journal C Series, however the OJ does not include explanatory memoranda.
 
Eur-Lex
European Union Law Reporter
OEIL - Legislative Observatory  
Pre-Lex
Lexis- EURCOM;PREP
Westlaw- EU-ACTS
 
Case Law (not all cases are available in English)
 
The Court of Justice (citation example: Case C-209/04, Commission v Republic of Austria)
 
Judgments of the Court 
Opinions of the Advocate-General
 
The General Court (citation example: Case T-193/04, Tillack v Commission)
 
Cases from national courts of member states
Direct actions by individuals
 
Sources:
 
Eur-Lex
Court of Justice
Westlaw: EU-CS, EU-OJCSERIES
Lexis: EURCOM;ECJ, EURCOM;ECCASE
Reports of Cases before the Courts (European Court of Justice) (official, but slow to publish) (K3823 .A495 C68)
Official Journal (C Series) (KJE908 .I54)
European Community Cases (HC241 .2 .C68)
Common Market Law Reports (KJE923 .7 .C65)
C.M.L.R. Antitrust Cases (KJE6456 .A7 .C65)
 
Introductory Materials & Treatises
 
Arnull, The European Union and its Court of Justice (KJE5461 .A97 1999)
Edward, European Community Law: an Introduction (KJE949 .E39 1995)
Folsom, European Union Law in a Nutshell (Reserve KJE949 .F55 2005)
Hartley, The Foundations of European Community Law: an Introduction to the Constitutional and Administrative Law of the European Community (Reserve KJE947 .H37 1994)
Mathijsen, A Guide to European Community Law (HC241 .2 .M38 1985)
Raworth, Introduction to the Legal System of the European Union (KJE947 .R39 2001)
 
Articles
 
General Periodical Indexes and Databases:
 
Index to Foreign Legal Periodicals (Reference K33 .I29) (Angel Homepage, Library Resources, Legal Electronic Subscriptions)  
Index to Legal Periodicals (Reference K33 .I55); (Lexis- LAWREV;ILP; Westlaw- ILP)
Current Law Index (Reference K33 .C87); (Lexis- LAWREV;LGLIND; Westlaw- LRI)
Lexis- LAWREV; ALLREV
Westlaw- JLR
EU Specific Indexes, Digests & Databases:
 
European Commission Libraries Catalogue (comprehensive bibliographic references)
AEI Archive of European Integration
The Digest (KD296 .E52)
European Constitutional Law Network
European Current Law Yearbook (K3823 .A495 .E871)
European Documentation Centre
European Law Digest (K3823 .A495 E87)
European Research Papers Archive
Public International Law: A Current Bibliography of Books and Articles (Reference JX1225 .P83)
Selected Periodicals:
 
Common Market Law Review (K3 .O445)
European Journal of International Law
European Law Review (K5 .U765)
European Yearbook (K64 .A55)
Journal of Common Market Studies (K29 .E174)
Westlaw- ECLR, EURLR, EUGCA-JLR, EUICA-JLR, PPLR
 
News / Current Awareness
 
Europa Newsletter)
EU Focus (HC241 .2 C68)
EU News (Lexis- EURCOM;ECNEWS)
EU Observer (Lexis- EURCOM;EUOBSV)
EU Update (HC241 .2 C48)
Euronews
European Report (Westlaw- EUROREP)
European Update (Westlaw- EURUPDATE)
RAPID (EC press releases)  
 
Research Guides
 
Alford, European Union Legal Materials, 97 L. Lib. J. 49 (2005)
Carpenter & Hodgson, Legal Research and the Law of the European Communities (Reference KJE928 .J44 1997)