There have been many books written about the history and theories of infinity. Recommended especially for the non-mathematical mind, Brian Clegg's "A Brief History of Infinity" is an extensive and accessible overview of the subject. Eli Maor's "To Infinity and Beyond: A Cultural History of the Infinite" examines infinity's role in both the history of mathematics and non-scientific disciplines. Loren Graham and Jean-Michael Kantor's "Naming Infinity" is a history of the drama and religious struggles surrounding the discovery of infinite sets.
No list of philosophical studies of infinity would be complete without Rudy Rucker's "Infinity and the Mind." Despite its title, Neal Stephenson and David Foster Wallace's book "Everything and More: A Compact History of Infinity" is heavy on theories and philosophies related to infinity -- though it does also provide historical context for its ideas. Emmanuel Levinas wrote several treatises related to infinity as a philosophical concept, chief among them "Totality and Infinity."
A concept as rich as infinity continues to be researched and covered thoroughly by the academic community. Journals that focus on physics, mathematics and even philosophy often publish new papers related to infinity, although there are many in the archives that date back to the 1970s. Some examples are Dennis Sullivan's "The Density at Infinity of a Discrete Group of Hyperbolic Motions," and Abhay Ashtekar and R.O. Hansen's "A unified treatment of null and spatial infinity in general relativity."
Those without the patience or will to wade through a sea of words may wish to research infinity through watching or listening to documentaries. The British Broadcasting Company's 2006 audio documentary "A Brief History of Infinity" is available free for listeners to stream or download. "To Infinity and Beyond" is a six-part series of videos available for viewing on YouTube.