As far as strictly Middle-earth books go:

LoTR, Hobbit, Silmarillion, Unfinished Tales, all twelve volume of HoME, Karen Wynn Fonstad's Atlas, Barbara Strachey's "Journeys Of Frodo", Robert Foster's Guide (an older paperback and a newer hardcover), J.E.A.Tyler's Companion, Friedhelm Schneidewind's Lexicon (German), and The Children Of Húrin.

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