Read the Silmarillion if you haven't. It's dense (like a history book), but explains the machinations of Morgoth and Sauron, the creation of Dwarves and Orcs, and clears many things up.

The only pity is that J.R.R. Tolkien never finished it, so some things like where Hobbits came from or where the Blue Wizards went remain (mostly) unaddressed.