I have visited fear wiki, and saw lots of concept arts. And I wondered where does it come from? Have developers released an artbook or something? Like this Conrad Krieg character for example, where have people found info about him?
Anyway, does anyone know the source where people can read about game/story development or where they can see
concept art (not counting fear wiki)?

They released a magazine with the collector's edition for Fear 2 with loads of stuff written in it, including some concept arts and drawings for items and creatures that were left out. It wasn't just about Fear 2, but every game in the series up to that point.
I had it but lost it when I moved out of the house.

Pre-order edition of Fear 2 was bundled with Armacham Field Guide about everything related to Fear up to Fear2 with Genevie Aristide quotes and writings. Anthology of Fear (Fear1+Extraction Point) has printed walkthrough for base game and expansion. I can post screenshots later, however no such thing for Perseus Mandate except detailed manual or Fear1/XP1 outside of USA editions at least not that I am aware of (Fear1 has kind of Director's Cut content that partially made into retail normal version in EU ones). Sole purpose for Perseus Mandate has to make weapons from expansion possible in multiplayer and add new ones as standalone spin-off, sequel like manner and it's best optimized game from Fear1 generation of engine.

I own retail platinum version from way back. Nothing is inside. Only a small piece of paper with the installation codes.

There was a "Director's Edition" of F.E.A.R., which came with about 1.5 GB of bonus .bik movies, like Developer's Comments, Making Of etc.

This bonus material was also included with the Gold and the Platinum Editions of F.E.A.R:
http://fear.wikia.com/wiki/F.E.A.R._Special_Editions

If you own the UK retail version of the Platinum Edition, you'll find these movies in the folder "movies" of the first DVD.