The entire series is composed of 12 separate volumes, and is collectively titled The History of Middle Earth, generally abbreviated HoME. The titles of the individual volumes in the series, in order, are:
1. The Book of Lost Tales, part 1
2. The Book of Lost Tales, part 2
3. The Lays of Beleriand
4. The Shaping of Middle Earth
5. The Lost Road
6. The Return of the Shadow
7. The Treason of Isengard
8. The War of the Ring
9. Sauron Defeated
10. Morgoth's Ring
11. The War of the Jewels
12. The Peoples of Middle Earth
Volumes 6-9 consist of rough drafts of the Lord of the Rings, and this part of the series is also subtitled The History of The Lord of the Rings - volumes 1-4
While I love the HoME, most of it is rather academic - it's often tough reading, as most of the series consists of early drafts of the Silmarillion (which changed GREATLY over the course of Tolkien's life!). Don't even THINK about tackling it (except for the 4 volumes concerning the Lord of the Rings) until you are very familiar with the Silmarillion. The most accessable of the books, IMHO, are the last three volumes in the series, and volume 3 (the Lays) if you enjoy poetry.
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And thus it came to pass that the Silmarils found their long homes: one in the airs of heaven, and one in the fires of the heart of the world, and one in the deep waters.
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