[Mänwe]

For me the natural choice was the Silmarillion, if I had known of the existance of the Silmarillion when I first encountered Lord of the Rings I would have read that first; due to the base history of the 'creation' and 'first ages' not covered by the trilogy.

However I hold some caution to promoting the Silmarillion, for it is considered by some to be less than canon. The rumoured changes and additions not of Tolkienesque make mean the books credabililty is degraded somewhat. However it does not detract from a book that is filled with useful insights and a glorious history.