Online Resources. This really is a huge topic, so the trick is figuring out what your focus will be and what cultural tradition(s) and time period(s) you want to work with:
For classical creatures of the Greek and Roman tradition, check out the Bestiary at Theoi.com. For the Christian inheritance of these traditions, be sure to look at the Bestiary.ca website or at the beautiful Aberdeen Bestiary online.
The Sacred Texts Archive has a section of books about legendary creatures, including books such as Charles Gould's Mythical Monsters and John Vinycomb's Fictitious and Symbolic Creatures in Art.
Wikipedia is a great resource for modern cryptids like Big Foot or the Goat-Sucker (Chupacabra), and you might also enjoy the article on cryptozoology.
Finally, the majority of fairy tales feature some kind of monstrous supernatural creature (and sometimes several), so you might enjoy browsing through the hundreds of fairy tales in Andrew Lang's Fairy Books, just to see what you can find there!