It seems the earliest consideration of a roof on Stonehenge was that of Inigo Jones in his book "Most Notable Antiquity of Great Britain Vulgarly Called Stone Henge on Salisbury Plain" of 1655. He seems to regard the structure as having been built by the Romans and compares Stonehenge with other roofless Roman temples. He concludes that Stonehenge was also roofless.
The next person that discusses a roof is (apparently) Stukeley. In "Stukeley's `Stonehenge': An Unpublished Manuscript 1721-1724" edited by Aubrey Burl and Neil Mortimer a short discussion regarding a roof can be found, but like Inigo Jones, Stukeley finds against a roof. There appears to be a contemporary of Stukeley called Webb who appears to have thought otherwise, but I have not found a copy of Webbs work or ideas.
In the book "StoneHenge And Other British Monuments Astonomically Considered" (1908) by Norman Lockyer (http://en.wikipedia.org/wiki/Joseph_Norman_Lockyer) one can find the following quote
"There can be little doubt that the temple was originally roofed in, and that the suns first ray, suddenly shining into the darkness, formed a fundamental part of the cultus. With regard to the question of a roof, however, the above suggestion, I now find, is not new, the view being held by no less an authority than Dr. Thurnham, who apparently was led to it by the representions of the Scandinavian temples as covered and enclosed structures".
The Dr. Thurnham mentioned in the above text was in fact Dr. John Thurnam a renowned antiquarian and psychiatrist who is known in archaeological circles as the first person to describe a particular type of barrow known as a bowl barrow. Dr. Thurnam died in 1873. I have not been able to read any of his works on Stonehenge yet.
Finally, there is the work by Andre Vayson de Predanne that I mentioned in a previous posting in this thread.
As regards the idea of a roof on Avebury stone circle - I have not heard that one before. Stonehenge has a ring of lintels which make it look rather like a roundhouse (e.g. see here http://www.gallica.co.uk/celts/build.htm). Hence the idea which continually pops up regarding Stonehenge having a roof. If anyone has any more quotes please post them in. Thanks for the one from the Shell book.
Chris W