Be prepared for a pretty intense experience, Skarpi. Davis made his first recordings in 1935 for ARC and you can hear these on the Yazoo LP Rev. Gary Davis 1935-1949. It's probably on CD. It's my favorite recording of his but some of his later ones like Harlem Street Singer are also great.
You can pick up lots of information at Stefan Grossman's Guitar Workshop on the net where they've got DVD lessons by Grossman and Ernie Hawkins of Davis' music and lesson books and performance videos as well. In their discussion area there are lots of Davis oriented threads as well.