Kojima games owned: -Metal Gear Solid -Metal Gear Solid 2: Sons of Liberty/Substance -Metal Gear Solid 3: Snake Eater/Subsistence -Metal Gear Solid: Portable Ops -Metal Gear Solid 4: Guns of the Patriots -Metal Gear AC!D -Snatcher -Zone of the Enders -Zone of the Enders: The Second Runner -Zone of the Enders: The Fist of Mars
Favorite Game: Shenmue I, MGS, Snatcher, Zelda: Ocarina Of Time.
Kojima games owned: Metal Gear (NES) Metal Gear: Ghost Babel (GB) Metal Gear Solid (PSX) Metal Gear Solid 2: Substance (PS2) Metal Gear Solid 3: Subsistence (PS2) Policenauts (Saturn/PSX/3DO) Snatcher (PC Engine/Mega CD) Zone Of The Enders (PS2) Zone Of The Enders 2: Special Edition (PS2) Super Smash Bros. Brawl; it counts, right? ;P
I'd recommend the Okami art book, though I understand it might be a bit outside of what you are looking for.
The Shadow of the colossus guide also has some great sketches, but they are not as many as you might want. I would also recommend the Lunar books, but they might be even harder to find than the other ones suggested.
Finally, if you are into mech, get the ZOE premium pack if possible, the art book in there and the ones from Anubis are great as well.
SNATCHER SERIES Snatcher (Mega CD) [European] Snatcher (Saturn) [Japanese]
POLICENAUTS SERIES Policenauts Pilot Disk (3DO) [Japanese] Policenauts (3DO) [Japanese] Policenauts (PlayStation) [Japanese] Policenauts (Saturn) [Japanese] Policenauts (Saturn) [Japanese]
ZONE OF THE ENDERS SERIES Zone Of the Enders (PlayStation 2) [European] Zone Of the Enders: The Second Runner - Special Edition (PlayStation 2) [European]
BOKTAI SERIES boktai: The Sun Is In Your Hand! (Gameboy Advance) [European] boktai 2: Solar Boy Django (Gameboy Advance) [European]
OTHER SERIES Penguin Adventure (MSX) [European] Kabushiki Baibai Trainer Kabutore (DS) [Japanese]
KOJIMA-RELATED GAMES Konami Krazy Racers (Gameboy Advance) [European] Super Smash Bros. Brawl (Wii) [American]
I wish they'd bring out a Sonic 2 art-book. Not because the art was all that amazing (although I get nostalgic over it), but the concept art was often very interesting, and sometimes even quite funny! (Click here for some examples)
I'd also like to see Konami publishing the MGS2 ideas book. If you haven't heard of it, I'll explain. During the development of MGS2, every member of KCEJ was asked to draw, write or otherwise express a new idea for MGS2 in a book. This happened very regularly (I can't remember whether it was every day or every week). A lot of the new ideas for MGS2 came from the book. You can see some examples of drawings from the book on the Making Of DVD that came with the PAL version of MGS2:SOL.
The art book covering the SCD Lunars is godlike. It's been a treasure of mine for years. I always liked the original art much better than the remakes, as well.
It has a ton of neat stuff -- some of the most interesting is art for the first "Lunar II" version, which was to feature older versions of the Lunar 1 chars.