I haven't seen them being sold in a bundle before.

http://en.wikipedia.org/wiki/Category:Warcraft_books

Edit: Here's a better list...

http://www.wowwiki.com/Novel

 

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Also, if you're looking for good online lore resources/commentary :

http://wow.joystiq.com/category/know-your-lore/

Just a warning though, the articles contain quite a few spoilers if that concerns you.

 

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I know there is a atleast one archive, I believe two though.
The war of the ancients trilogy comes in an archive at a discounted price. It includes the three books that tell the story of the night elves/highborne, the first burning legion invasion, and the well of eternity.

I would start with Rise of the Horde. It lays the foundation for much of what goes on with the orcs, draenei, and the burning legion.

 

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i found a compilation manga book by Richard Knaak (combines the 4 comic novellas into one giant book) at borders the other day for about $14.

I had read the first 2 about 2 years ago, but i find it interesting now because the central characters in the book(s) are now able to be interacted with partly in Azshara (blue dragonflight)

edit: i think its called trilogy of the sunwell, but there is a 4th episode that is added? i dunno.

 

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