I recommend this order:
The Hobbit
The Lord of the Rings (including appendices)
Unfinished Tales (3rd age section)
The Silmarillion
If you make it through the Silmarillion (the best stuff is toward the middle), read the rest of Unfinished Tales. If you still want more (and many of us do) pick up whichever History of Middle Earth books strike your fancy (these are the history of Tolkien's conception of Middle Earth btw, not a fictional account of Tolkien's world).
I'd also recommend Robert Foster's "Complete Guide to Middle Earth" as an excellent reference, though the page numbers it gives are generally for editions that no longer exist, and it covers Tolkien's works only through Silmarilion.
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"If I could have one wish, as in the fairy tales, I would unmake my past, and rise like Lazarus and stand in sunlight and banish all the dark."
D. Tibet
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