Lilly was a prolific rare book collector and a member of the Grolier Club. He acquired a First Folio of the works of William Shakespeare, a Gutenberg Bible, a double-elephant folio of John James Audubon's "Birds of America", the first printing of the American Declaration of Independence (the Dunlap Broadside), and a first edition of Edgar Allan Poe's "Tamerlane". He also acquired ninety-four titles on the "Grolier Hundred," a list of one hundred volumes that have been identified as important in the history of printed books. Lilly owned "thousands" of first editions of significant books of literature, history, and science. His collection was especially strong in American and British literary classics, as well as the history of science and medicine and Americana. The manuscript collections ranged from Robert Burns's "Auld Lang Syne" to the original manuscript of James M. Barrie's "Peter Pan".