A: Cambridge, Massachusetts, United States
The the first book printed in North America, north of Mexico, was the Whole Booke of Psalmes, edited by Richard Mather, John Eliot and others. Known as the Bay Psalm Book, it was also the first book printed in English in the New World. The book was printed in 1640 by Stephen Daye, a locksmith in Cambridge, Massachusetts. Because the Bay Psalm Book published a new translation of the psalms made in North America, it was also the first book written in North America, north of Mexico. One hundred and one years earlier Juan Pablos, in Mexico, had issued the first book printed in North America, and also the first book printed in the Western Hemisphere.
Of the original edition of 1700 copies, eleven copies remain extant. The finest copy, preserved in its original calf binding, is in the John Carter Brown Library at Brown University, Providence, Rhode Island.
"The first printing press to come to British America arrived in the winter of 1638/39. During 1639 an almanac and the 'Oath of a Freeman' were printed, although no genuine examples of either have been found. The ministers of the small colony were eager to produce their own version of the Psalms, one that did not sacrifice accuracy of translation to regulating of meter. Richard Mather, John Eliot, and several others made translations from the original Hebrew. Thus this first product of the American press represented a distinct break from Old England, both in production and translation" (Reese, The Printers' First Fruits. An Exhibition of American Imprints 1640-1742, from the Collections of the American Antiquarian Society  no. 1).
On November 26, 2013 Sotheby's in New York auctioned a copy of the Bay Psalm Book. This was the first copy sold since 1947, when it realized $151,000. The presale estimate was $15,000,000-$30,000,000. The copy was a duplicate from the Old South Church in Boston, which, remarkably, owned two copies. In preparation for this auction Sotheby's published an extensive catalogue that researched all aspects of the physical book and its content. This information was available from the Sotheby's website at this link.
Prior to the auction on November 16, 2013 The New York Times published an article about the forthcoming sale from which I quote:
"David N. Redden recited the opening of the 23rd Psalm the way he had memorized it as a child: 'The Lord is my shepherd; I shall not want. He maketh me to lie down in green pastures.
"Then he opened a weathered little book and read the version it contained: 'The Lord to mee a shepheard is, want therefore shall not I. Hee in the folds of tender-grasse, doth cause mee downe to lie.'....
"Mr. Redden, who is the chairman of Sotheby’s books department and has auctioned copies of Magna Carta and the Declaration of Independence, among other historic and valuable documents, will sell that copy on Nov. 26. Sotheby’s expects it to go for $15 million to $30 million, which would make it the most expensive book ever sold at auction — more expensive than a copy of John James Audubon’s 'The Birds of America' that sold in December 2010 for $11.54 million (equivalent to $12.39 million in 2013 dollars), the current record. That beat the $7.5 million ($10.77 million today) paid for a copy of Chaucer’s 'Canterbury Tales' at Christie’s in London in 1998, and the $6.16 million ($8.14 million today) paid for Shakespeare’s First Folio at Christie’s in New York in 2001."The price realized on November 26, 2013 was $12,500,000 plus the buyer's premium, or $14,165,000. While substantially below the low estimate, and probably just meeting the reserve, the price set a new record for the sale of a printed book. The buyer was reportedly David Rubenstein of The Carlyle Group.