Have you tried HoMe and Unfinished Tale? They may temporarily slake your thirst for more. The Middle-earth Legendarium feels very real and organic - the detailed histories, the scattered and partial documents, the different perspectives, even the revisions and addenda - and my natural inclination is to keep learning until I can learn no more. It is not, for me at least, the same as other fiction, where I want to find out what happens to characters later: I just want to experience the reality of Middle-earth as much as possible. The books (and in your case the movies) are a portal into another world as much as they are a fictional narrative, and I find myself re-reading things I have read dozens of times just to capture glimpses of the majestic history that Professor Tolkien created.
Er, translated.
