Your question is sufficiently vague, so I will also add Edda, Parsifal, Beowulf, and Nibelung saga to a list of works that are connected to the Lord of the Rings :).
More practically, apart from Silmarillion, recommended above, I would suggest preferentially reading Unfinished Tales and Lays of Beleriand. But you have to accept that those are books rather different from the Hobbit and LoTR.
The Silmarillion is both the history and the mythology of the world of LoTR and it's essential for enjoying the vastness and beauty of Tolkien's creation. If, reading LoTR, you had a feeling that the stories are much deeper, that there are undercurrents to the story of four hobbits, you were right. And that background is in the Silmarillion.
Stylistically the Silmarillion resembles a chronicle or the Scripture - there's a great amount of names, dates, events and interpersonal relations there, together with a creation mythos, gods and demigods, overall story spanning thousands of years, hatred between elves and dwarves and among elves themselves, epic battles, vain victories and bitter defeats, love and betrayal, and several beautiful and moving stories. It's a different experience than LoTR, and much more difficult, but very rewarding.
The Lays of Beleriand is the third volume of HoME and it mostly comprises of two long poems, thousands of verses each, telling the two principal stories from the Silmarillion, about the children of Hurin and about Beren and Luthien. Aragorn singing to the hobbits at the Weathertop in LoTR might have been quoting from the second one.
Unfortunately, both poems are unfinished, just like the Unfinished Tales.