Most of the books in the Lilly Library (about 80-90%) can be found in IUCAT.
There is a special version of IUCAT that automatically limits your search to materials in the Lilly Library, which you will find very useful. There are many manuscript treasures in the book collection, including books with interesting marginalia, inscriptions, and other ephemera related to manuscript collections.
You can request materials from IUCAT by clicking on the Request button next to the call number. Don't forget to make an appointment for the Reading Room.
There are many other collections at the Lilly Library beyond books and manuscripts, including comic books, sheet music, and puzzles. If you find yourself with an interest collections that are not searchable through IUCAT or Archives Online, please feel free to contact me for a quick tutorial in how to use the collections.
Note also that there are book and manuscript collections that are unprocessed or only cataloged in print card catalog drawers. While I am happy to give you access to these resources if and when I can, I urge you to focus for the sake of ease of use (for all of us) on the wealth of material that is available via Archives Online or IUCAT.