Continuity mistake: When Abe is being tortured by the Harpies, at one point, you can see that his body is covered with cuts and his blue-colored blood. The blood then disappears and reappears in subsequent shots.
Deliberate mistake: After Prof. Broom finally defeats the vampire countess near the end of the movie, many of her ghostly victims appear around the room. And, if you look closely, you can see that many of them look exactly like one another, revealing that the animators simply would repeat the same images over and over onscreen, to make the crowd bigger. (Confirmed in DVD commentary).
Answer: 90% of the creatures in Hellboy are taken from various myths and legends. Any books dealing with mythology or medieval stories should be ideal.