I'm a huuuuge Grail buff, so here's my recommended reading list.
"The Da Vinci Code" by Dan Brown. It's a fictional work, and has been gaining in popularity since it's release. The main character, a Harvard (or Yale, I forget which - definitely Ivy League) professor of symbology teams up with the cryptographer granddaughter of a slain musuem curator/secret society grandmaster. They run across Paris and England trying to unlock the secret of the Grail before Opus Dei can catch them. There are quite a few puzzles interwoven in the plot, which you can probably adapt to your group (as most of them are based of Da Vinci's works).
"The Templar Revelation" by Lynn Picknett and Clive Prince. This is a pretty hefty tome - expect to devote quite a bit of time reading this. You might try checking out a copy at your library, as there are only a few sections of the book which are relevant to what you're looking for. It traces the development of the Grail Heresy (that the Grail is a symbolic reference to Mary Magdalene, the wife/lover/soulmate of Jesus who bore his children) through the Knights Templar (guardians of this secret).
Anything by Margaret Starbird should help you. "The Woman With the Alabaster Jar", as mentioned before, is probably closest to what you're looking for. Elaine Pagels is a respected Biblical scholar, and anything by her on the topic of the Holy Grail or Mary Magdalene is highly recommended. Michael Baigent, author of "Holy Blood, Holy Grail" also covers the Grail Heresy in a rather sensationalist manner.
Lastly, I haven't yet read it (so many books, so little time!), but "The Gospel of Mary Magdalene" by Jean Yves-Leloup is purportedly a direct translation of a Nag Hammadi scroll attributed to Mary Magdalene, with commentary.
And when all else fails, you can Google the Knights Templar, or Priory of Sion (the secret society reputed with keeping the grail secret). Or rent "Indiana Jones and the Last Crusade" for inspiration.
I hope you find what you're looking for. Everything I suggested above deals with the heretical interpretation of the Grail myth, so if you're planning on going in a completely different direction with your game, feel free to ignore. Good luck!