Got my Collector's Edition Guide today, and it's pretty sweet. The guide book itself is very nice, and written like a scrapbook/novel. Every line of dialog seems to be in it, and it describes everything that happens in the game. Basically you could read this guide as a regular novel instead of playing the game, but the guide doesn't have the ending so that would be pretty pointless.
The making of book, Alan Wake Illuminated, is pretty nice as well. Goes through Remedy's history and the development process of Alan Wake. It seems that it's basically the commentary track from the game written in text, plus plenty of artwork.