I have read the Tolkien Reader, and I loved it. If you haven't read that I would recommend that. I have also read the book that has Sir Gawain and the Green Knight, Pearl, and Sir Orfeo. I would also recomment those. But first, if you haven't read HOME, I would tell you to read that, even though I myself haven't, but you have probably read them already. I don't think I have to metion the Hobbit and the Silmarillion. If you have read all those already I really don't know what to recommend. My brother recommended that I read the book, Out of the Silent Planet and the Series by C. S. Lewis, but I am lack of sufficient time.

Do you have seen the Cartoon-Movie of Bakshi? I don't know. whether it falls under the DVDs you've mentioned. I think, that it is a necessity to see it, because it draw a different picture of Middle-Earth as the movies of PJ.
Although the quality is worse than the newer movies (of course because it is older), it has many aspects, which are better or more original. The spirit is for example more dark and I think, that it fit better in the world of Tolkien.
Sadly it ends with the battle of Helm's Deep, but there is a not popular sequence, which have a really bad quality. But you must have seen it.... ;-)

Book of Lost Tales.... I'll read that after I finish LOTR (reading return of the king) I think this is the fourth or fifth time I have read LOTR.