The first place to start is probably the Incontext Enterprises web site. Incontext is a consulting company run by Karen Holtzblatt and Hugh Beyer to spread the word about Contextual Design. If you are plannirg to use Contextual techniques in the near future, you may want to check out the bact issues of their newsletter, Contextual Connection, in particular issue number 3 which contains specific advise on using Contextual techniques. If you have the resources and are serious about using Contextual techniques, attending a training session in probably a good idea. The web site lists the conference tutorials being given in the near future. If you are part of a company with deep pockets, then you may wish to consider bringing Incontext in for in-house training.
Wixon, Dennis and Judith Ramey. (1996). Field Methods Casebook for Software Design. New York, NY: Wily Computer Publishing.
This book has a chapter by Karen Holtzblatt and Hugh Beyer that is the most uptodate presetation of how to analyze the raw data generated by Contextual inquiry, but does not say much about how to perform interviews. There are also a number of case studies of projects that used Contextual techniques exclusively or as one of their methods. I found the case studies to be inspiring but unsatisfying. Nonetheless, based on my partial reading I recommend the book.
Holtzblatt, Karen and Sandra Jones. (1993). Conducting and Analyzing a Contextual Inquiry. In Aki Namoika and Doug Schuler (Eds.), Participatory Design: Principles and Practice. Hillsdale, NJ: Lawrence Erlbaum Associates.
This chapter is the most comprehensive treatment of how to perform a Contextual inquiry. Some of the material has been superceded, in particular that covering the analysis of the data and the relationship of the inquirere and the user. Nonetheless, there is still a lot of good information in there, including some detailed recommendations and examples that make it worth reading.
The chapter also appears in excerpted form in Ron Baecker, William Buxton, Jonathon Grudin, & Saul Greenberg (Eds.) Readings in Human-Computer Interaction:Toward the Year 2000. I prefer the original, though this presentation is likely to be easier to find and does not make any crippling omissions.
Beyer, Hugh and Karen Holtzblatt. Apprenticing with the Customer. Comm. ACM, 38(5), 45-52.
This article is another good source of information on doing Contextual inquiries. It provides insight into the good attitudes for the individual inquirer and talks about some of the problems that may arise during a CI session and how to deal with them.
If after digesting all of the above still want to read more, check out the bibliography at the InContext web site.