There are many guides to research in EU law. Among them are the following:
European Union, by K. Alayan (Duke Law School Research Guides)
ASIL Electronic Resource Guide: European Union, by M. Raisch (focuses on electronic resources)
European Union Research Updated (NYU Law Library Research Guides)
European Union Law: Boalt Research Guide, M. Hoffman and M. Lindsey (UC-Berkeley Research Guides)
Rule 21.5.2 of The Bluebook describes how to cite documents of the Court of Justice and General Court. Rule 21.9 describes how to cite documents of the Council and Commission, legislative acts of the Council and Commission, COM and SEC documents, documents of the European Parliament, preparatory documents such as reports, green papers, and white papers, and founding treaties.T3 indicates the order of preference among parallel authorities and proper abbreviation.
A Citation Manual for European Community Materials, 23 Fordham Int'l L. J. 935 (2000), provides detailed, but now somewhat outdated, citation advice.