I am going by the assumption that we all have the Hobbit and LOTR trilogy, and perhaps the Silmarillion. What other books do you own, or at least read? I will count books about Tolkien's works as well.
JRR Tolkien's writings, including those compiled by Christopher Tolkien:
Histories of Middle Earth volumes 1-5* (see below)
Smith of Wootton Major
Tree and Leaf
The Tolkien Reader (includes Farmer Giles of Ham)
Sir Gawain and the Green Knight and Sir Orfeo
The Fall of Arthur
Bilbo's Last Song
* A word about the History series. I was able to find volumes 1-5, but I could never find the next three volumes in the bookstores, I saw later books and browsed through them, but I didn't buy them because I didn't like to skip books in a series. Yes, I was that uptight when I was young. I guess I can find them now that I have the internet, but I haven't got around to it yet.
Works by other authors about Tolkien's works:
The Atlas of Middle-earth by Karen Wynn Fonstad (albeit an early edition)
The Complete Guide to Middle-earth by Robert Foster
An Introduction to Elvish by Jim Allan
The Languages of Tolkien's Middle-earth by Ruth S. Noel
The Hobbit Companion by David Day