Welcome to the board, Paul. Is the Lilly worth going to? Undoubtedly yes. I'm not sure what you mean by Mercury materials though. Radio? Theater? The Lilly has something on just about anything Welles did from 1936-49, so it's bound to be covered there. You should check their web site out if you haven't already; the pages for the Welles collection lists everything they possess. Also, you can get photocopies of most of the stuff they have (excepting full scripts), as well as copies made of photos. Just handling that stuff is great, much less being able to sit there and study it. It helps to have some idea of what you want before you go, as there is so much stuff, just asking for boxes at random won't do much for you.