- C. K. Barrett, The New Testament Background: Selected Documents
- M. Harding, Early Christian Life and Thought in Social Context
- L. H. Feldman & M. Reinhold, Jewish Life and Thought Among Greeks and Romans
- V. M. Warrior, Roman Religion: A Sourcebook
- J. Shelton, As the Romans Did: A Sourcebook in Roman Social History
- B. D. Ehrman, Lost Scriptures: Books that Did Not Make it into the New Testament
- M. Holmes, The Apostolic Fathers
- B. Davenport, The Portable Roman Reader
These books have been utterly helpful with introducing me to the wide variety of literature that make up the world of the 1st Century (pertaining to the study of early Christianity). Many of them have valuable introductions, and background information which show how the source is to be understood. Many of these also provide helpful bibliographies for further research, which is excellent. Some of these are also very helpful in that they arrange them thematically, which can be excessively helpful for those doing research on particular topics.
Go and enjoy some primary sources!