When most people think about J.R.R. Tolkien, they think of the Hobbit and the Lord of Rings. While those are his most popular books, there are others, even others set in the same Middle-earth. The next one I would recommend is the Silmarillion. But after that, I would recommend Unfinished Tales.
Tolkien’s son, Christopher Tolkien has done a lot of work to edit and publish material written by his father. Tolkien started and stopped many different projects, much of it only hinted at in his other writings. One of the compilations is that of Unfinished Tales.
This book covers a large span of the history of Tolkien’s world, including the ancient history of the elves and the days when Sauron was only the lieutenant to Morgoth, the real bad guy.
One of my favourite chapters is on the wizards. Wizards for Tolkien were not humans who learned magic, but rather spirits that were incarnated into human bodies. The wizards were really of the same kind as the gods/angels/demons such as Sauron and the balrogs. The difference is that they were in human bodies. There were five wizards that were sent from the west to Middle-earth. There was a white, a grey, a brown and two blue wizards. It is pretty interesting stuff.
If you are interested in the world of Middle-earth, I highly recommend you get a copy of Unfinished Tales.