Night Music, 1979, Eclipse.
This is the first collection of Russell's short stories, and incidentally the second graphic novel published by Eclipse after the ground-breaking Sabre, drawn by Paul Gulacy and written by Don McGregor, Russell's scenarist on the Killraven stories.

Elric of Melniboné, 1986, First.
The first Elric mini-series (Opus 15) collected in a handsome trade paperback.

Elric : The Weird of the white wolf, 1990, First.
The second Elric mini-series, drawn by Michael Gilbert, except for two short stories by Russell (Opus 12 and 22).

Opera, 1990, Eclipse.
A collection of opera works by Russell (Opus 5, 16, 18, 21 and 23) this oversized book is a good introduction to Russell's adaptations of operas. Out-of-print. See the new NBM collections below.

Fairy Tales of Oscar Wilde Vol. 1-3, 1992, 1994, 1998, NBM.
Russell developed his cartoony style on these stories, to which should be added sooner or later all of the other fairy tales written by Wilde (see below).

Jungle Book Stories, 1997, NBM.
A collection of the last three Kipling tales adapted by Russell (opus 19, 25 & 40), with a few added pages and a couple of new drawings. A beautiful book, and a perfect opportunity to discover another facet of Russell's varied art styles.

Elric : Stormbringer, 1998, Dark Horse Comics.
Collecting Opus 41 and 42, the last Elric stories by Russell.

The Ring of the Nibelung Vol. 1: The Rhinegold & The Valkyrie, 2002, Dark Horse Comics.
The Ring of the Nibelung Vol. 2: Siegfried & Gotterdammerung: The Twilight of the Gods, 2002, Dark Horse Comics.
Collecting the entire adaptation of Richard Wagner's tetralogy (See Opus 47).

Isolation and Illusion, 2003, Dark Horse Comics.
Collecting hard-to-find opuses 4, 8, 9, 11, 17, 29, 31, 32, 39.

This is a must-have for people who want to discover a lesser known side of Russell's work, and it perfectly complements the mammoth Ring of the Nibelung.

The P. Craig Russell Library of Opera Adaptations vol.1: The Magic Flute, 2003, NBM.

Collecting Opus 28.

The P. Craig Russell Library of Opera Adaptations vol.2, 2003, NBM.

Collecting Opus 5, 16, 18, 26 & 45.

The P. Craig Russell Library of Opera Adaptations vol.3, 2004, NBM.

Collecting Opus 21, 23 and 58.

Fairy Tales of Oscar Wilde Vol. 4, 2004, NBM.

See here for a preview.
Collecting Opus 49 & 54.

Essential Killraven vol. 1, 2005, Marvel.

Collecting Opus 3 & 13 in wonderful black and white.

Conan: The Jewels of Gwahlur, 2005, Dark Horse.

Collecting Opus 61.
Includes a very interesting 16-page interview/sketchbook that wasn't in the comics.

Marvel Illustrated: Jungle Book, 2007, Marvel.

A comic collecting the whole collaboration between Gil Kane and P. Craig Russell on some of the Rudyard Kipling's Jungle Book stories originally published in 1983.

The Art of P. Craig Russell, 2007, Desperado.

A 256-page, large-sized retrospective of PCR's career, heavily illustrated with excerpts, sketchbooks and rare or unpublished art, and commented by the artist himself.

Night Music: The Art of P. Craig Russell, 2008, Lurid Media.

A documentary on PCR's work, essentially a long (90 minutes) and fascinating interview of the artist, interspersed with beautiful black & white and color panels and pages. The publisher sells it with a signed insert drawing, and it's available from Amazon.com. Excerpt here.

The Mighty 12: Superheroes of Greek Myth, 2008, Little, Brown.

A large-sized, 48-page kids book presenting important characters from Greek Myths, including Zeus, Apollo and Aphrodite.
P. Craig Russell has drawn about 20 full- and double-page illustrations, plus the cover. Very striking.

Sandman: The Deam Hunters, 2009, DC/Vertigo.

The collection of the mini-series (Opus #64) drawn by P. Craig Russell from a Neil Gaiman story.

Fairy Tales of Oscar Wilde Vol. 5, 2012, NBM.

See here for a preview.
Collecting Opus #66.