Ian Gittins, Talking Heads—Once in a Lifetime: The Stories Behind Every Song (2004)
Go in-depth with every Talking Heads song in this study by Ian Gittins.
Frank Olinsky, Talking Heads, What the Songs Look Like: Contemporary Artists Interpret Talking Heads' Songs (1987)
This beautiful book is perhaps more interesting in terms of art history, but it's still really cool.
Sytze Steenstra, Song and Circumstance: The Work of David Byrne from Talking Heads to Present (2010)
Of Sytze Steenstra's book on him, Byrne said, "this book makes me seem both smarter than I am and possibly stranger than I am."