Agreed on The History but for some obstinate reason or other I'm not choosing to purchase those.I would highly recommend The History of Middle-earth (yes, all twelve volumes) to anyone interested in Tolkien's work in detail, Moontravler. Not only do they provide a great deal of fascinating background on his creation of Middle-earth and the thought which lies behind it, but (even with the "dry" areas mentioned by Clansman) there are large amounts of some of Tolkien's most beautiful prose as well.
....As Knivesout has mentioned there is also his translation of "Pearl", "Sir Orfeo", and Sir Gawain and the Green Knight. You may also find of interest his collection of essays, The Monster and the Critics, which provides some interesting insights into the aesthetic behind his fictional work.
I've added Monsters and Critics to my original list....unfortunately my memory failed me on that point.
My copy of Sir Gawain and the Green Knight also contains Pearl, Sir Orefo and Gawain's Leave Taking (poem).
I probably should have expanded upon the contents as I know I've got everything by Tolkien (fiction) other than the History Of collection following my research on the topic. Just didn't have the books in front of me LOL!