The Commission publishes a report every so often on "Citizenship of the Union" and the fifth one was made public recently. You can find it here as COM(2008) 85 final.
The report covers the period May 1st 2004 to June 30th 2007 and contains a very valuable and interesting summary of developments - legislative, administrative and judicial - in all areas affecting citizenship at the EC level.
That Report itself is succinct. Earnest researchers should refer to the accompanying Commission document SEC(2008) 197 is much more detailed and provides what seems like a comprehensive series of references. What is particularly interesting is the table on pages 9 and 10 on migration and population figures per member State. Did you know, for example that 2.1% of the United Kingdom's population was made up of citizens from other member States and 3.6% of it from non-member States ?