I have the histories, but haven't read right through them.
That be what I'm doing
Here's my list
so far:
The Hobbit
The Lord of the Rings
-The Fellowship of the Ring
-The Two Towers
-The Return of the King
The Silmarillion
The Children of Hurin
Unfinished Tales
The History of Middle Earth
-The Book of Lost Tales Part 1
-The Book of Lost Tales Part 2
-The Lays of Beleriand
-The Shaping of Middle-earth
-The Lost Road and Other Writings
-The Return of the Shadow
-The Treason of Isengard (halfway)
and I have plenty more to read B)