My father tells me that in the 30's and 40's when a new movie would come out they would publish these small books with photos from scenes in the movie. One in particular that he remembers is a book his mother had for It Happened One Night. I don't know if they came from the theatre or if they were sold elsewhere. Does anyone know what I am talking about? I have never seen one.

The big studios often released books such as you're describing for the blockbusters in the 30's through the early 70's. You can sometimes find them in used bookstores and antique shops. I have 2 that were my mom's. One from "Cleopatra" 1963 with Elizabeth Taylor and Richard Burton and the other from the musical "South Pacific" 1958 with Mitzi Gaynor.