Everyone is right on in saying save
The Silmarillion for last. Even if you are a history fan, it's just not a great introduction to the series. The writing style is very different, and since it takes place in a different age, it only mildly relates to the age of
The Hobbit and
The Lord of the Rings. As for where to start, Charlatan gave some good advice. Personally I would also start with
The Lord of the Rings.
The Hobbit is great, it's just written for a younger audience so it doesn't engage me as much.
Unless you want to be a true Tolkien expert in every sense of the word, I would stay away from
The Histories. They make
The Silmarillion look like the most exciting piece of literature ever written.
Unless you enjoy reading encyclopedia's for fun, I wouldn't recommend them.
As for his other works, I really enjoy his translation of
Sir Gaiwain and the Green Knight. 