Illustrated Guide to the Protozoa, Second Edition
by J J Lee, Gordon F. Leedale and Phyllis Bradbury. Publisher: Wiley-Blackwell; 2 edition (May 25, 2000), 1475 pages.
How to Know the Protozoa 2nd Edition
by Theodore Louis Jahn, Eugene Cleveland Bovee and Frances Floed Jahn. Publisher: McGraw-Hill Science/Engineering/Math; 2nd edition (October 1, 1978), 279 pages.
Free-Living Freshwater Protozoa: a Colour Guide, 1st Edition
by D. J. Patterson, Publisher: ASM Press; 1 edition (November 6, 2003), 223 pages.
The Ciliated Protozoa: Characterization, Classification and Guide to the Literature, Edition 2, John O. Corliss, Publisher: Pergamon; 2nd edition (1979), 470 pages.
All of David G. Seamer's illustrated guides
More advanced books (look for deals on these - they can be pricey):
Monograph of the Oxytrichidae (Ciliophora, Hypotrichia)
Helmut berger, Springer 1999 edition, 1080 pages.
Monograph of the Urostyloidea (Ciliophora, Hypotricha)
Helmut Berger, Springer 2006 edition, 1304 pages.
Monograph of the Gonostomatidae and Kahliellidae (Ciliophora, Hypotricha)
Helmut Berger, Springer 2011 edition, 742 pages.
There are many more books and articles available for protozoa study that dig deeper into families, genera and species.