A few months ago, I started a thread called Workbooks for Therapy. It had some good ideas. The thread is here:
http://forums.psychcentral.com/showthread.php?t=222838

I have become really interested in workbooks the last few months. I have a number checked out from the library right now and I bought couple of books too. These are the ones I have in my room right now:

The Feeling Good Handbook, Burns
Got this at a used book store for a couple of $. Haven't read it.

Thoughts and Feelings: Taking Control of Your Moods and Your Life, McKay, Davis, & Fanning
I think this one is very good. I bought it. It is basically a Cognitive Therapy workbook.

The Relaxation and Stress Reduction Workbook, Davis, Eshelman, & McKay
Read a couple of chapters that I didn't like as I didn't really understand them or see how they could help, such as the chapter on "Autogenics," but I haven't explored the more mainstream chapters.

The Post-Traumatic Stress Disorder Sourcebook: A Guide to Healing, Recovery, and Growth, Schiraldi
I haven't read much in this but liked the chapters on Expressive Therapies and Building Self Esteem. It is not strictly a workbook. It does have some exercises but also some general discussion of approaches.

The Brain-Savvy Therapist's Workbook, Badenoch
I do not like this book at all! It just isn't useful to me. I bought it because it is the companion workbook to Being a Brain-wise Therapist by the same author, which I really liked. Go figure.

Neural Path Therapy: How to Change Your Brain's Response to Anger, Fear, Pain & Desire, McKay & Harp
I really like this book, which is simple and short and focuses on just 5 steps. Each step has a chapter with multiple exercises. This is a good starting place for me and a good source- and idea-book. You can view the table of contents on Amazon.

Your local library system is a good source for trying books out without having to buy them.

I have also downloaded some free manuals online. These often come from research studies and so the materials are made available for free at the academic websites. They are not trying to sell you anything.