I generally like to delve deeper so I can see how the stories evloved. I am not particularly interested in the applicability sides of the stories, but i do like to see characters in all their different incarnations. I like to see how the names changed and i like to see Tolkien's drawings and i like to see original samples of Tengwar and so on.
I think you can go as far as you wish really as i don't personally believe that Tolkien would have had any particular objection to us reading what he wrote down. I think the things he wanted to keep mysterious, he just didn't write so much about.
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