For those of you who bought the Collector's Edition, you happened to get a book with it called The Alan Wake Files, which claims to be compiled by Clay Steward.  For those who didn't get a Collector's Edition, sucks to be you, as it's a great read.  The book gives a ton of details about characters in the story, as well as a look at the aftermath of the events from Alan Wake...and moreover, it brings up more questions. 
 
I'm going to be the nice guy for some of you folks and throw out these tidbits, as I think reading this book really changes some of the perspective that story elements in the game play out. 
 

1. How many of you actually ever asked yourselves "why is an FBI agent after Alan Wake"?  What's even better is that...when you've read The Alan Wake Files, you find out that Nightingale wasn't there on official business at all.  The FBI didn't send him to Bright Falls.  It is led to believe that Nightingale was having dreams much the same way that Alan and Clay were having dreams which led them to Bright Falls.
2. The matter of Diver's Isle sinking:  Barbara Jagger died on July 11, 1970...and the volcanic quake that sunk Diver's Isle was July 20, 1970.  Now, that might lead folks to believe that Barbara Jagger caused it once she was embraced by the darkness of Cauldron Lake.  However, the book points out that strange things have been happening in and around Cauldron Lake since as early 1850.  It's also pointed out that volcanic quakes have happened regularly in Bright Falls.  There are reports of Sasquatch and such, but particularly , there are accounts of shadow men throughout the whole time frame.
3. The "author" of the book, Clay Steward, was having dreams about a lighthouse and a man who were leading him into the lighthouse.  This mimics the beginning of the game itself.  However, in Clay's dreams, the man leading him into the lighthouse was Alan Wake, and both died at the end of each.
4. Nightingale had a number of interviews with townfolk during the events of Alan Wake.  Two of the most interesting interviews come from Rose after the incident with Barbara, Alan, and Barry in the trailer...as well as an interview with Pat Maine, the radio DJ.  In the interview with Rose, she starts out lucid and out of it like she had been throughout the rest of the game after what happened.  Eventually, Rose begins to break down crying and realizes exactly what has happened.  She also continues to talk about how she can't be in the daylight anymore, that it hurts her eyes, and asks why it is so dark.  There is a common thread going through the book that leads the belief that Rose is the new "lady of the light".  In the interview with Pat Maine, however, it would seem that both Pat and Nightingale have their own secrets that they know about the events that have been occurring.  Sadly, nothing comes out of it, and it leads to them basically having a tete-a-tete.
5. The people of Bright Falls don't like Nightingale, and they distrust him greatly.
6. Apparently, the writing that lights up all around town to let you know where crates are and such...you know, the stuff that Cynthia Weaver wrote around town...was there before Alan ever showed up.  This would lead one to believe that Alan coming to Bright Falls and doing all of this was predetermined.
7. Alan has a police record, with a past that includes a trend of battery and assault.
8. At the end of the game, an obviously possessed Alan states "it's not a lake, it's an ocean".  One thing the book also points out is that there are other occurrences in other states that mimic those of Bright Falls.
9. Nightingale is deeply affected by the loss of his partner, long before the events occurring here.  It's brought up a couple of times in his own personal journals found in this book.
10. When Clay Steward asks the FBI formally for information about Nightingale, the FBI send him a letter back stating that they cannot give up any information due to an "ongoing investigation", as well as not knowing anything about the whereabouts of Nightingale.
11. There is an obituary for Barbara Jagger in the book, and it's quite interesting.  It shows that Barbara was an incredibly generous and kind person, that she was always very forthgoing towards people, and that she was a very capable swimmer.  This goes completely against the grain of what Cynthia Weaver had to say about her.  Moreover, it points out that no foul play was expected, although Barbara Jagger drowned.  It also mentions, of course, that she was survived by her companion, Thomas Zane.

Wow this is pretty cool, I love Alan Wake dearly but sadly I do not own the Collector's Edition. I didn't even know about this book! Thanks for posting this info, though.

3.  The "author" of the book, Clay Steward, was having dreams about a lighthouse and a man who were leading him into the lighthouse.  This mimics the beginning of the game itself.  However, in Clay's dreams, the man leading him into the lighthouse was Alan Wake, and both died at the end of each.

AAAAH, SPOILERS!!!!!

And on point 6-that's told to you by her,that she wrote all those things to help somebody in need. 
Also,it's getting really convoluted.Bright Falls(or the darkness) is apparently using authors to it's own needs,as stated by the author of this book you read.Wouldn't this create a endless loop?Author after Author facing the darkness and then becoming the new "guide" for the next one? 
Also,the most interesting fact is the one that Rose might be the new lady of the light.If my memories are correct,at the end of the game she is sitting near Nightingale holding the exact same lamp as Cynthia Weaver did,while Alan spouts out random bullshit.

" @jakob187 said:   

3.  The "author" of the book, Clay Steward, was having dreams about a lighthouse and a man who were leading him into the lighthouse.  This mimics the beginning of the game itself.  However, in Clay's dreams, the man leading him into the lighthouse was Alan Wake, and both died at the end of each.

 The author Clay Steward is actually in the very beginning of the game.  He is the guy who is killed by the axe murderer in the dream sequence.  So  you are correct, Alan and Clay are having the same exact dream. "

"...when you've read The Alan Wake Files, you find out that Nightingale wasn't there on official business at all." 

I also think that agent Nightingale wasn't there on official business but it's strange to me why did he have backup from the bureau if they don't even know were he is.
 
@FirePrince:   

Also,the most interesting fact is the one that Rose might be the new lady of the light.If my memories are correct,at the end of the game she is sitting near Nightingale holding the exact same lamp as Cynthia Weaver  

 
That's exactly what a thought but if the book says "Eventually, Rose begins to break down crying and realizes exactly what has happened.  She also continues to talk about how she can't be in the daylight anymore, that it hurts her eyes, and asks why it is so dark." why is she outside?