A quick scan of the Zefram Cochrane page on Memory Beta finds references to the following books he appears in:
- Metamorphosis (TOS episode novelization)
- First Frontier (TOS novel)
- A Warp in Space, Star Trek #49 (TOS comic)
- Federation (TNG novel)
- Imzadi (TNG novel)
- First Contact (TNG movie novelization)
- Honor Bound (DS9 novel)
Note that I'm ignoring reference works (like the Star Trek: The Next Generation Technical Manual) and other books (like NF: Stone and Anvil) where he is mentioned but doesn't appear as a character.
A scan of his Memory Alpha page and his Wikipedia page don't turn up any more, nor does a search of Google books.