Scans of old (19th and early 20th century) art magazines, journals, and catalogues can be found on archive.org along with text extracted from them. These are a very useful resource for study of the history of art.
Google Books is better for searching for them, but archive.org is better for downloading them.
Be wary of later editions as these may only be out of copyright in the US.
The Yellow Book
The Magazine Of Art
The Illustrated Magazine Of Art
The Burlington Magazine
Art In America
Special Numbers 1897-8
Royal Academy Illustrated and Catalogues
The Print Connoisseur
Art Prices Current
Various Exhibition Catalogues
The Armory Show Catalogue
If anyone can suggest other items in the archive, names to search for, more avant-garde publications, or other kinds of periodicals that might have information relevant to art (particularly show listings, sale information) let me know in the comments!