If you look up Pecos Bill or Paul Bunyan on Amazon there are a bunch of great picture books of other tall tale legends like Mike Fink, Slue Foot Sue, etc. Mary Osborne has a anthology book as well.
I wouldn't have thought of Annie Oakley as a tall tale character. She, Davey Crockett, Daniel Boone, Buffalo Bill, Johnny Appleseed, and the Swamp Fox would fall into legend, right? Anyhow, I loved tall tales and mythology as a kid. We've been working on myths in our house but I plan to introduce my kids to more tall tales this summer to jive with our American History. I'm looking forward to reading what other characters the Hive lists.
Oh and I grew up in SoCal and learned about Tall Tales in Elementary School.