Well... you could order catalogs from a bunch of foundries you like... but those aren't going to have everything. I picked up a few older type books at a used book sale a while back, they weren't free but they were worth the $3. Rookledge's International TypeFinder was one of them, I have the 1983 edition. Worth a look on eBay, maybe?

I don't think you will find a complete compendium of available typefaces, and sadly, the old type catalogs from type houses and foundries have gone the way of the doing manual character counts for text fitting.

It simply isn't practical and incredibly expensive and time consuming to produce one, even in PDF without actually printing one.

You can still get a hard copy of:
"The Type Specimen Book: 544 Different Typefaces With over 3000 Sizes Shown in Complete Alphabets"
by & M Typographical Inc.
This only shows 544 styles, a drop in the bucket to what's available.

Berthold has great downloadable PDF versions of their type library, very well done, but again, not even close to what you want.
http://www.bertholdtypes.com/home.html

If you are interested in old type specimen books, you can go to the Univerity of Delaware Library site and view samples and descriptions:
http://www.lib.udel.edu/ud/spec/guides/bookarts.htm
That way you can know what titles to search for on EBay or Google.

I have a modest size collection of type specimen books going back to the early 1900's and they are great for reference but not relevant to fonts being sold today. Remember, most hot metal and phototype fonts were retooled for digital fonts and many have lost their design subtleties.

Yes, I'm old, but I'm back in style!