About the World's fair, called the Columbian Exposition to commemorate "the 400th anniversary of Christopher Columbus's landing in America," from the Chicago Historical Society. There is also a bibliography page.
Article "World's Columbian Exposition (May 1, 1893-October 30, 1893)" from the Encyclopedia of Chicago.
About the World's Columbian Exposition of 1893 from the Illinois Institute of Technology.
Another website devoted to the World's Columbian Exposition from the University of Virginia, including a Virtual Tour.
Serious and less serious exhibits, including Houdini, were part of the fair, as explained on American Experience by PBS.
What the buildings at the fair looked like from Boston College's A Digital Archive of American Architecture.
A photo of the fair, from the Smithsonian archives, on Flickr.
Videos about the fair (to download) from Urban Simulation Team at UCLA.
A page devoted to the Fair and Urban Planning.
Documentary films exist: Magic of the White City Expo (2005, narrated by Gene Wilder)