Ian HP, I hope you're still around. Try the book "Folklore in the English and Scottish Ballads" by Lowry Charles Wimberly. It was written in 1928, so it can be a bit "scholarly" (read: stuffy), but it's a good jumping-off point. You'd probably also find just about anything written by Katharine Briggs useful (and much more readable). I'd start with "Encyclopedia of Fairies (Pantheon, 1976)