By Tolkien:

The Hobbit (published by Grafton in 1991)
The Lord of the Rings, Illustrated by Allan Lee, One Volume Hardcover (published by HarperColins in 1991)
The Silmarillion (published by Grafton in 1992)
The Unfinished Tales (published by Unwin Paperbacks in 1982)
The Lost Road (The History of Middle-Earth Volume Five)published by Unwin Paperbacks in 1987
The Return of the Shadow (The History of Middle-Earth Volume Six) published by Unwin Paperbacks in 1988
The Treason of Isengard (The History of Middle-Earth Volume Seven)
The War of The Ring (The History of Middle-Earth Volume Eight) published by Grafton in 1992
Sauron Defeated (The History of Middle-Earth Volume Nine) published by Grafton in 1993
The Peoples of Middle-Earth (The History of Middle-Earth Volume Twelve) published by Houghton Mifflin in 1996
The Letters of J.R.R. Tolkien, by Humphrey Carpenter (published by Houghton Mifflin)

About Tolkien's books:

Tolkien's Ring, by David Day
Tolkien, The Illustrated Encyclopedia, by David Day (has several errors)
A-Z of Tolkein, by David Day
The Journeys of Frodo, by Barbara Strachey
The Complete Guide to Middle-Earth, by Robert Foster