Ruled: 1509-1547

Letters and Papers, Foreign and Domestic, Henry VIII - These documents from Henry VIII's reign are always included in biographies and Tudor history books and are cited as "LP" and now you can browse through them at British History Online - simply type "Henry VIII" into the search box and lots of volumes will come up. You can then search for particular names or events.
Henry VIII's Love Letters to Anne Boleyn

Calendar of State Papers and Manuscripts in the Archives of Milan, 1359–1618
Calendar of State Papers Relating to English Affairs in the Archives of Venice, Volume 2 - 1509-1519
Journal of the House of Lords: volume 1 - 1509-1577

Hall's Chronicle - This is another historical document that is often cited in history books. Edward Hall's Chronicle, proper name "The Union of the Two Noble and Illustrate Famelies of Lancastre and Yorke", was published in 1542 and is a chronicle running from the accession of Henry IV in 1399 to the death of Henry VIII in 1547. The part of the chronicle which covers Henry VIII's reign is called "The Triumphant Reigne of King Henry the VIII" and can be readonline - click here to read the original handwritten text or click here to read or download the much easier type-written text.
Holinshed's Chronicle - You can download the pdf of this at http://ia310836.us.archive.org/3/items/holinshedschroni01holi/holinshedschroni01holi.pdf or read it online at The Holinshed Project
Charles Wriothesley's "A Chronicle of England During the Reigns of the Tudors from AD 1485-1559" - Download the pdf of Volume I at http://ia341309.us.archive.org/2/items/chronicleengland00wriouoft/chronicleengland00wriouoft.pdf and Volume II at http://ia331313.us.archive.org/3/items/chronicleofengla02wriouoft/chronicleofengla02wriouoft.pdf

Miscellaneous state papers: From 1501 to 1726, ed. Philip Yorke, Earl of Hardwicke - https://archive.org/details/miscellaneoussta01harduoft
The Spanish Chronicle - The Spanish Chronicle, or "The Chronicle of King Henry VIII of England", can be read online at http://www.archive.org/stream/chroniclekinghe00humegoog#page/n0/mode/1up
"The Chronicle of Calais in the Reigns of Henry VII and Henry VIII to the year 1540" Edited by John Gough Nichols

The Privy Purse Expenses of King Henry the Eighth, from November 1529, to December 1532 edited by Nicholas Harris - available online at Internet Archives
John Foxe's Book of Martyrs - Can be downloaded or read online at http://www.gutenberg.org/etext/22400
Original Letters, Illustrative of English History, edited by Sir Henry Ellis - Series 1, Volume I

Original Letters, Illustrative of English History, edited by Sir Henry Ellis - Series 1, Volume II
Original Letters, Illustrative of English History, edited by Sir Henry Ellis - Series 1, Volume III
Original Letters, Illustrative of English History, edited by Sir Henry Ellis - Series 2, Volume I

Original Letters, Illustrative of English History, edited by Sir Henry Ellis - Series 2, Volume II
Original Letters, Illustrative of English History, edited by Sir Henry Ellis - Series 2, Volume III
Original Letters, Illustrative of English History, edited by Sir Henry Ellis - Series 3, Volume I

Original Letters, Illustrative of English History, edited by Sir Henry Ellis - Series 3, Volume II
Original Letters, Illustrative of English History, edited by Sir Henry Ellis - Series 3, Volume III
Original Letters, Illustrative of English History, edited by Sir Henry Ellis - Series 3, Volume IV

Ecclesiastical memorials, Relating chiefly to Religion, and the Reformation of It … under Henry VIII, King Edward VI and Queen Mary I, ed. John Strype
History of the Reformation of the Church of England, ed. Gilbert Burnet - 7 Volumes
Memorials of the Most Reverend Father in God, Thomas Cranmer, sometime Lord Archbishop of Canterbury, Volume 1, ed. John Strype

Memorials of the Most Reverend Father in God, Thomas Cranmer, sometime Lord Archbishop of Canterbury, Volume 2, ed. John Strype
Acts of the Privy Council of England volume 1 - 1542-1547
Annals of England to 1603, John Stow

Specific Topics

British History Online have put together some lists of primary sources for topics pertaining to Henry VIII, see timeline and topics at http://www.british-history.ac.uk/period.aspx?tme=8:-