There are plentiful resources relating to Hadrian’s Wall that are freely (and legitimately!) available on the web, mostly PDFs.
Breeze, David J. 2011: Frontiers of the Roman Empire: Hadrian’s Wall
The FRE booklet on Hadrian’s Wall
Breeze, David J. 2020: The Pilgrimages of Hadrian’s Wall 1849–2019: A History
Every decade, a bunch of people wander along the Wall.
Breeze, D. J. Jilek, S. and Thiel, A. 2011: Frontiers of the Roman Empire: Hadrian’s Wall, Hexham
A general introductory account in three languages (English, German, and French).
A feast of delightful woodcuts of inscriptions and sculpture.
Bruce, J. C. 1895: Handbook to the Roman Wall, ed.4, Newcastle upon Tyne
The ultimate guide to Hadrian’s Wall.
Bruce, J. C. 1853: The Roman Wall, Newcastle upon Tyne
Collingwood Bruce’s other book on the Wall.
Budge, E.A.W. 1903: Account of the Roman Antiquities Preserved in the Museum at Chesters
The catalogue of the contents of Chesters Museum.
Collins, Rob 2015: Hadrian’s Wall and LiDAR. New features in an ancient frontier landscape
Report commissioned by BBC History, with many lidar images of Wall sites
Collins, Rob and Symonds, Matthew 2019: Hadrian’s Wall 2009–2019
Recent work on the Wall, produced for the 2019 Pilgrimage
Hodgson, N. 2009: Hadrian’s Wall 2009–2019
Recent work on the Wall, produced for the 2009 Pilgrimage
Horsley, J. 1732: Britannia Romana, London
Horsley’s hugely influential account of his journey around Roman Britain. The section dealing with Hadrian’s Wall was pirated by John Warburton without so much as a by-your-leave for his Vallum Romanum.
Hoyer, M. 1908: By the Roman Wall; Notes on a Summer Holiday, London
A gentle and endearing amble along the Wall. Leaving out the sordid and frankly uninteresting eastern end (much as the National Trail does these days) she calls in on the excavations at Corbridge and meets a nice young man (Leonard Woolley on his first dig) before setting off from Chesters. Worth the read just for the ride back from Port Carlisle on the Dandy Car.
Not only a (slightly confused) history but also an account of his walk along the Wall in 1801. The 78-year-old Hutton actually walked it twice, west to east then east to west, but only wrote about the east to west journey (thereby starting the odd and illogical craze to walk it from east to west). The account is rendered all the more piquant by the fact he walked from Birmingham and back again in order to indulge his passion to see the Wall. It is difficult not to like him, but it should never be forgotten that he began work at the age of five and later used to walk 14 miles between Southwell and Nottingham (and back!) every day.
MacLauchlan, H. 1858: Memoir Written During a Survey of the Roman Wall, London
MacLauchlan’s account of his ground-breaking survey of Hadrian’s Wall, undertaken for the Duke of Nothumberland.
Mothersole, J. 1922: Hadrian’s Wall, London
A gentle, but academically well-informed stroll along the Wall with watercolours thrown in for good measure (although sadly colour printing could only be afforded for a few).
The first volume Structural Report and Discussion covers the structural history, the second The Material Assemblages details the finds.
A masterful piece of cut-and-paste piracy. Great fun to be had sitting down with this and a copy of Horsley and working out what came from where!
Wilmott, T. 2009: Hadrian’s Wall Archaeological Research by English Heritage 1976–2000, Swindon
Recent work along the Wall by English Heritage, including their milecastles project, excavation at Bowness, further work at Birdoswald, Coates’ 19th-century paintings of the Wall, and Charlie Anderson’s consolidation labour of love.
Wilson, P. 2011: Introductions to Heritage Assets – Roman Forts and Fortresses, Swindon
A useful and brief introduction.
You might also enjoy listening to the Hadrian’s Wall episode of BBC Radio 4’s In Our Time programme.