I have found that one of the most useful books about The Silmarillion and The Lord of the Rings to be The Unfinished Tales. It is a book containing several stories and essays by Tolkien that were never finished. It, like the History of Middle-Earth was put together by Tolkien's son Christopher Tolkien. What the Unfinished Tales has is the detailed movements of the Nazgûl, the reason for the Quest of Erebor, The oath of Cirion and Eorl (referred to in The Lord of the Rings) and several other interesting things, such as a lot of detail on the Númenorean lifestyle. The stories are still rough and sometimes still in manuscript form though they are fascinating.

Among the fascinating things in The Unfinished Tales is the full history of the Disaster of the Gladden Fields, More information on the Hunt for the Ring, and the history of the Woses in Druedain Forest. I found that the book really answered a lot of my questions, such as what happened in the battle of the fords of the Isen where Théoden's son died. This was referred to by Wormtongue in the Two Towers, though no information was given in The Lord of the Rings.

According to The Unfinished Tales, the Dagorlad (Sindarin for "The Battle-Plain") was the site for many other battles, besides that of the Last Alliance.

Other things The Unfinished Tales has include:

The full story of the Quest of Erebor
The story of the choosing of the Istari
The History of Galadriel and Celeborn
The list of the Kings of Númenor and a brief history of each
The full Narn I Hin Hurín, or The Tale of the Children of Hurín. This history deals mostly with Túrin
The Hunt for the Ring
A description of the Palantíri and how they work

The A-Z of Tolkien, by David Day
The Illustrated Encyclopedia, by David Day
The Complete Guide to Middle Earth, by Robert Foster

The best encyclopedia on Tolkien that I have found is The Complete Guide to Middle-Earth. The books by David Day contain numerous errors, including:

The picture of Merriadoc Brandybuck has him in the armour of Gondor and the picture of Peregrin Took in the armour of Rohan, Pages 260 and 261 of the Illustrated Encyclopedia.
It also says that Minas Ithil translates as The Tower of the Sun, on page 101.

The Complete Guide to Middle-Earth has translations of the names that are in Sindarin, Quenya, Dwarvish and Rohirrim. This is quite useful and was my main guide for the Glossary section of this site.

Other favourites include:
The Lost Road in the History of Middle-Earth, volume 5 (also called The Lost Road). This is a time travel story involving Númenor and several legends and periods of history.
The Notion Club Papers in Sauron Defeated. This is a somewhat different and more developed tale of Númenor set in "modern" England. I wrote an essay on it called A comparison study of the Númenorean Legends.