The University of Virginia Library Gordon collection has useful information on the New World accounts by Léry and Thevet, including images from the texts themselves.
The University of Virginia Library Gordon collection page on Montaigne also offers a number of useful links and examples, including images from the Essais.
The University of Chicago's Montaigne Studies site is a very rich and detailed site for scholars of Montaigne. You may be interested in some of the images of editions of the text, and of Montaigne himself.
For those interested in reading other Essais, including those not available in the Pocket edition, check out the Trismégiste site, which has a complete online copy of the 1595 edition.
Last summer Franceinter radio produced a series of short talks on aspects of Montaigne's thought and writing. This gives very accessible insights into the Essays as a whole and is well worth a look: http://www.franceinter.fr/archives-diffusions/384649/2012-08
A recent In Our Time discussion was devoted to Montaigne. These discussions are led by academics but are intended to be accessible to a lay audience, so this comes highly recommended as a way in to Montaigne:https://files.warwick.ac.uk/drgoodchild/files/iot_20130425-1045a.mp3