I was quite happy to find this book at a Kinokuniya when I was on holiday.
This book covers story characters, locations, enemies, storyboards, interviews and more. Although the style has changed quite a bit since the PSO days it's still interesting, if a little too 'flowery' for my taste. It'll be interesting to see what PSO2 holds for us.
Phantasy Star Portable 2 - Material Artbook