There's a fun little book called PICKS! by Will Hoover, which appears to be the only book devoted to the subject. I suspect some mudcatters like obscure history topics as much as I do, and it's a good little book, mostly about flatpicks, celluloid, and D'Andrea's entertaining history.

Picks areshown in ancient egyptian bas-reliefs, and seem to go back as far as recorded history, and Hoover relates a speculation that arrowheads were the first picks, used to sound bowstrings. It sounds okay, but a sculptor friend of mine knaps flint as a hobby, and even his heads, which he says are poor, are scarey sharp. I think it'd be a good way to snap your bow-string, and doubt the whole idea. But that other thing, about an angry god turning a nymph into the first guitar, I'm pretty sure that's true.