Yes the Silmarillion is one place hwere you can find such information. The Silmarillion deals with the creation of the world, through all of the history up until the third age and Sauron and the Rings of Power. So it's kinda like reading the bible of Tolkien's world.
In addition to the Silmarillion, there is a set of 12 books called the History of Middle Earth (aka HoME). These books are the Books of Lost tales 1 and 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, The War of the Ring, Sauron Defeated, Morgoth's Ring, The War of the Jewels and The People's of Middle Earth. HoME deals mostly with Tolkien's first drafts of the Lord of the Rings and the Silmarillion, with annotations by Christopher Tolkien, J.R.R. Tolkien's son.
Then there are even more books that were written by Tolkien, but not all of them have to do with Lord of the Rings. They are:
Leaf by Niggle
On Fairy-Stories
Farmer Giles of Ham
The Homecoming of Beorhtnoth
The Adventures of Tom Bombadil
The Road Goes Ever On
Smith of Wooton Major
Sir Gawain and the Green Knight, Pearl and Sir Orfeo
The Father Christmas Letters
Pictures by J.R.R. Tolkien
Unfinished Tales (related to Lord of the Rings and probably the book you would pick up after having read The Hobbit, The lord of the Rings and the Silmarillion)
The Letters of J.R.R. Tolkien
Finn and Hengest
Mr. Bliss
The Monsters and the Critics and Other Essays
Roverandom
There you go! Some of the books are no longer in circulation, but quite a few of them you could probably pick up at your local book store. If you can find them all you will probably win some sort of prize...
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