You could start with the documents of the MLKD research group:

http://mlkd.csd.auth.gr/multilabel.html

here there are also other links:

mlkd.csd.auth.gr/multilabel/multilabel_bib.pdf‎

And a recent survey and experimental comparisons on MLL:

Gjorgji Madjarov, Dragi Kocev, Dejan Gjorgjevikj, Saso Dzeroski: An extensive experimental comparison of methods for multi-label learning. Pattern Recognition 45(9): 3084-3104 (2012)