Lugh is discussed in just about any book on general Celtic Mythology.
There is Celtic Myth and Legend by Squire.
Myths and Legends of the Celtic Race by Rolleston.
I enjoyed the retelling of the gods by Lady Gregory called Gods and Fighting Men.
Also, if you want a highly illustrated graphic novel-like version of Lugh's story try The Silver Arm by Jim Fitzpatrick.
His prelude book is good also: The Book of Conquests.