A good reference providing a thorough introduction to the TSP with a focus on heuristics is Johnson and McGeoch "The Traveling Salesman Problem: A Case Study in Local Optimization", a chapter in Aarts and Lenstra, Local Search in Combinatorial Optimization, 1997.
The chapter reports that the Held-Karp bound for any TSP instance I satisfying the triangle inequality, L^{HK}(I), cannot not be smaller than (2/3) L^{OPT}(I), where L^{OPT}(I) is the optimal tour length. This result is attributed to both Wolsey (1980) and Shmoys and Williamson (1990); the latter paper is "Analyzing the Held-Karp TSP Bound: A monotonicity property and applications" in Information Processing Letters.
As far as empirical performance, the Johnson and McGeoch chapter provides a nice analysis of an implementation of the Lin-Kernighan TSP heuristic. For Lin-Kernighan tours found for random Euclidean instances with sizes ranging from n=100 to 1,000,000, the average percentage length in excess of the H-K bound is never greater than 2%; this very small average indicates that the H-K bound is quite tight for such instances in practice. Unfortunately, they do not report maximum excesses.