There are three:
The first code book is in the Soldier's Field gift shop, in the cannon in the central area. This book decodes a code in the bathroom of the restaurant across the street. The decoded message is "Tip the hat to the Vox" and refers to a hat rack in the bathroom next to the one where you find the code.
Behind the hidden wall is a secret room with an Infusion, a Voxophone, and some assorted weapons including an RPG.
The second code book is in the Good Times Club lockup, in the room where there is a large fire and some books being burned. The code unlocks a safe hidden behind a clock in the Plaza of Zeal area. In order to get into this room, you'll have to pick a lock that requires 1 pick. The code reads "The broken clock tolls at midnight" and refers to a clock on the wall to the right of where Elizabeth stands when she reads the message.
Inside is an Infusion, a Voxophone, some lockpicks, and a volley gun.
The third code book is in the basement of Hudson's clothing store, a shop near the Bank of the Prophet. It unlocks a hidden room in the basement of the Bank of the Prophet. The translated code is "type three letters to spell the voice" and refers to a trick typewriter on the desk where you find the coded message.
Behind the shelf is another Voxophone, another Infusion, some lockpicks, and a couple of weapons.
IGN has video guides for each of these, and they also include guides to the two locked chests you'll encounter as well.