New York Public Library has some fantastic LGBT Collections.
it has the records of the early Mattachine Society 1951-76see some fascinating examples on the NYPL blog of the literature it produced to educate the public. Including a rather odd zebra!
The same blog also provides images of early marches. unlike the modern gay pride these imposed a strict dress code of trousers and white shirt for men and dresses for women
the NYPL online digital collection has many LGBT materials
Browse photographs from the International Gay Information Center. They include materials relating to Gay Pride in the USA
and further Mattachine society publications.