if it's the book that you get delivered (that your local council organises) then usually it's the 'telephone book' but for most people they refer to their own personal collections as 'address books'

I'd call it "an address book". If you want to imply that it has the numbers of "special" contacts and gentleman suitors, you call it "my little black book".

Personal phone book. The phone book is the big one printed for everybody.

"Guía Telefónica" in spanish.