First of all, let me also extend a welcome handshake (or hug, if you prefer). Welcome to Red Wing Nation!
As far as history, like someone said, it depends on how far you want to go back. Me, I go back a long way, but that's because I'm a lot older than most of the people on this board.
There are some great DVD sets out there, including one that has three documentaries about the '97, '98 and '02 Cup runs, and 5 of the best games ever - May 16, 1996, which ends with a Steve Yzerman blast in double overtime; March 26,1997 - a date that lives in Red Wings legend; June 2, 1997, the last game against Philadelphia for the Cup; May 31, 2002 (I remember that game and laughed my ass off); and June 3, 2002, triple overtime in game 3 of the Finals (I remember it went on til 1AM).
There is also a book called "What It Means to be a Red Wing". It's a very nice book with short essays written by players from the 50's until now, including Ted Lindsay, Red Kelly (and the more you dig, the more you'll find about those guys), and Ken Holland. The 90's section is quite good; Nick Lidstrom, Kris Draper, Chris Osgood, Tomas Holmstrom, Brendan Shanahan and Chris Chelios. It also has current players with Pavel and Henrik. It's a beautiful book. I remember the first time I saw it, I sat in the middle of the bookstore reading Pasha's essay. And he has autographed my copy.
I hope I didn't scare you off with all this, but happy hunting!