You can see a big chunk of the history of Lego by looking through patents. Toy patents from the 1950s are fun in general--big surprise! Mon Jan 28 2008 15:19:
People are buzzing online about the 50th anniversary of the Lego PATENT (sorry, LEGO patent), but I haven't seen anyone link to the patent.
It's US patent #3005282 (filed six months after the Danish patent (?)), and it has some nice diagrams.