Carol Hurst's Children's Literature Site includes a section on the 1930s. This website includes recommended books on the topic as well as activities appropriate for use with the books.
Of course, Bud, Not Buddy is a classic children's book focusing on the era. Teacher Anya Fontes had her fourth grade students create a quilt about the story. One child was responsible for each quilt square and each square represents one chapter summary. Behind each square is a chapter summary written by the artist's own hand on an index card.
In addition to the quilt, Ms. Fontes' students created a glossary of terms to use with the book.