The two primary sources of presidential documents are the Daily Compilation of Presidential Documents and the Public Papers of the Presidents of the United States. Presidential documents published in these collections include, among other things, signing statements, proclamations, press releases and speeches.
The Daily Compilation of Presidential Documents (known as the Weekly Compilation of Presidential Documents until the Obama Administration) is the official publication of presidential statements. Publication began in 1965.
The Public Papers of the Presidents is published twice per year with each volume covering approximately a six month period. Publication of the series began in 1957 and spans from the Hoover to the second Bush Administrations. Note that the papers of FDR are not included in the series because they were published privately before the series commenced.
FDsys: Compilation of Presidential Documents, which includes the Weekly Compilation of Presidential Documents and the Daily Compilation of Presidential Documents, 103rd Congress (1993) to present
Law Library of Congress: Guide serves as an introduction to researching Presidential Signing Statements and provides a selective bibliography of resources relating to Presidential Signing Statements.
The National Archives has uploaded the Public Papers of the Presidents for the Reagan through the Obama administrations.
HeinOnline: Compilation of Presidential Documents
Lexis: Public Papers of the Presidents 96th Congress (1979) to present
LLMC: 71st Congress (1929) to 107th Congress (2001), except FDR
ProQuest Legislative Insight: Selected, 71st Congress (1929) to present; access Legislative Insight via the law library landing page.
Westlaw: Other Administrative & Executive Materials
Public Papers of the Presidents (J82): 71st Congress (1929) to present
USCCAN (United States Code Congressional and Administrative News) (KF51.U45): Signing statements published in Legislative History volumes 99th Congress (1986) to present, in print. USCCAN publishes selected legislative history information, in print and online.