Empirical investigations of the phenomenology of agency and free will have enjoyed new popularity over the last few years. A good place to start, for one perspective on the issues, possibilities for future research, and a useful reference list, is:
Nahmias, E., Morris, S., Nadelhoffer, T. and Turner, J. (2004). The phenomenology of free will. Journal of Consciousness Studies, 11, 162-79
For an interesting and sceptical approach to agency and our conscious experience of action, written by a social psychologist, try:
Wegner, D.M. (2002). The Illusion of Conscious Will.
A more challenging read – one that serves as a good introduction to Benjamin Libet’s famous studies on the timing of conscious intentions – is the following edited volume :
Libet, B, Freeman, A., and Sutherland, K. (1999). The Volitional Brain: Towards a Neuroscience of Free Will. Thorverton: Imprint Academic.
[The journal is in the Library and accessible via the e-journal portal; the books are available in the Library]