Shaun Tan's The Arrival.Read about the other books Eccleshare tagged.
Wordlessly, through it's intensely moving illustrations, and completely without preaching, it tells nothing less than the story of immigration: what it feels like to be a newcomer to a country; the hope, despair, courage, support from others that are part of every new arrival's journey. The story is the backbone of New York City's history, and the book would provide a perfect reference point before a visit to Ellis Island.
--Marshal Zeringue