For Hit the Road, I don't remember if any concept art showed up on LEC's site during their anniversary bash, but I imagine if they did we would have put them in the Mojo database. There is concept art scattered throughout the game's hint book, however, and there will probably be some in the Rogue Leaders LEC book
that comes out on the 26th. Sam & Max concepts for the games and otherwise were also collected in two awesome (but sadly out of print) art books that Purcell sold himself and through Telltale's website, but those could be difficult (and expensive) to get now.
For the Telltale games, Telltale itself has put tons of concept art for both seasons on their website (which we've collected on Mojo here
. I believe there may be some additional concept art included as bonus features in the various CD versions of the games.
Finally there's Purcell's blog
where he regularly posts art which can be Sam & Max themed. He's provided concepts for his art to the games' DVD and soundtrack covers, for example.
Hope this helps.