I was fortunate enough to find a number of quite interesting and early baseball references in magazines. The May 12th 1855 issue of Spirit of the Times published an early (the first?) version of the rules. The third volume of Porter's Spirit of the Times in 1857 published the first image of the game in an original engraving, here reproduced for your viewing pleasure.
The first magazine devoted to baseball was Ball Player's Chronicle, whose first issue appeared in 1867, two years prior to the establishment of the first professional team, The Cincinnati Red Stockings, in 1869. Before this a number of great images appeared in Frank Leslie's Illustrated Newspaper and The New York Clipper. Sports is now one of the favorite areas to collect, unfortunately it is far too commercial and many devout present-day card collectors will find that their investments will have very little demand for them in the future. As I've said: collect because you enjoy it. If someone tries to sell you something "because its a good investment", run in the other direction!
Enough lessons in collecting: Play Ball!