Some one uploaded the 1939 messenger and the 1941 convention report to the Internet Archive.
http://www.archive.org/details/1939MessengerReportOfConventionsOfJehovahsWitnesses
The following file seems to be missing the cover and last page but still a good resource.
http://www.archive.org/details/1941ReportOfConventionOfJehovahsWitnesses
Also some new Records by the Judge have been added.
http://www.archive.org/details/1933HolyYearByJudgeRutherford
http://www.archive.org/details/FlagSalutingByJudgeRutherford
http://www.archive.org/details/TheHigherPowersByJudgeRutherford
Some scans from the PhotodramaPostcards
http://www.archive.org/details/PhotodramaOfCreationPostcards