I see that Wikipedia now has a short, but acceptably accurate article on the illustrated song. The three most important secondary sources are listed in the reference section of the article: Rick Altman's discussion in Silent Film Sound and Richard Abel's two essays, one in Early American Cinema, the other in his book Americanizing the Movies and "Movie-Mad Audiences, 1910-1914. For some source documents, see the link to the illustrated song tag in the sidebar. Also see this page outlining the tradition of the illustrated song from the "Going to the Show" website sponsored by the State Library of North Carolina. The embedded performance of Irving Berlin and George Meyer's "Good Bye, Girlie, and Remember Me" (1909) comes from that project. (A PDF of the music is available here.)