A few books already come in that format. Mickey Williams' Visual C#.Net offers the choise between a .chm setup or integration with VS.

What I would rather ask is for a msReader version of the books. Trying to read these files with a Pocket pc is  pretty much impossible. I'm using Peter Tewesbuy's chm reader (http://www.codeproject.com/ce/chmreader.asp), but it takes a long time to move from one section to the next.