[Legolas]

Sauron, once you've read The Hobbit and The Lord of the Rings, the best place to go is The Silmarillion. It is the fullest account how the world began and the happenings in it up to The Hobbit. After that, you can read Unfinished Tales and then The History of Middle-earth.

You see, J.R.R. Tolkien didn't intend for The Hobbit to be part of the world of The Silmarillion. He had started The Silmarillion many years earlier - it was a life-long project. He had to set it aside time and time again because of work/other writings and illness. He didn't plan on a sequel to The Hobbit but so many people asked for a sequel, thus he decided to write The Lord of the Rings which tied itself and The Hobbit to the world of The Silmarillion.

He never finished The Silmarillion. His son, Christopher Tolkien, compiled what he thought to be the most complete version of The Silmarillion from all of the writings his father had left behind a few years after his father's death.

Unfinished Tales and The History of Middle-earth are filled with the writings Christopher Tolkien was left with after his father's death. They include numerous versions and revisions of The Silmarillion/The Lord of the Rings (with commentary/explanations by Christopher) as well as a multitude of essays and notes Tolkien had made about his world. Unfinished Tales, for example, includes a story about Turin that was never finished, an extensive history of Galadriel and Celeborn, an account of the five wizards (who they really were, where they came from, their purposes, etc.), notes about the Palantirs, how Isildur died and the One Ring was lost, etc.

So...

The Hobbit > The Lord of the Rings > The Silmarillion > Unfinished Tales > History of Middle-earth

That's the order I suggest you read them in. It will all make sense best then, I believe.