Guerrilla Games has updated their official site with in-depth information on the making of Killzone 2. The segment was split into two separate pages, and both links are available below.
Killzone Chronicles: Part 1 exposes the results of development work that occured between the release of their infamous E3 2005 concept trailer and late 2006. GG literally had to scour through desks and old hard drives to dig up this content, so definitely check it out. You may be surprised at how different the game was back then.
Killzone Chronicles: Part 2 goes over the design and layout process of building Killzone 2’s content. There’s a lot of concept art and test videos included, as well as an early Story Outline for its single-player campaign.