Jonas Smith has a good introductory article on Computer Game Research 101. It covers types of research and has a good introductory bibliography.
This is on the Games Research site at http://www.game-research.com/.
Smith also has a confused artile on the site on “The Road Not Taken – the How’s and Why’s of Interactive Fiction.” Game Research (2002). See http://www.game-research.com/art_road_not_taken.asp