The Doors of Oblivion - This is the account of Morian Zenas' apprentice, who shared a psychic link with his master and was able to pen the wizard's ill-fated travels to Oblivion. The story, as a whole, has a Lovecraftian edge to it, and if you've already read Morian's On Oblivion then this feels like a behind-the-scenes look at the Daedric realms.
The Daedra themselves are supposed to be Tamriel's version of demons, but the way they present themselves reminds me more of faeries who are really into metal, and their Daedric lords are as dysfunctional and powerful as a Greek pantheon. Stories about them are always interesting.
The Black Arts on Trial - Should Necromancy be taught as a legitimate school of magic? This intellectual debate on the arcane art's most controversial subject might make you think twice about bringing something back from the grave.
Racial Phylogeny - Some pervert muses in an academic manner about all the different fantasy races in Tamriel, and whether or not they're compatible for fucking each other.
The Elder Scrolls is the only series that allows you to walk into a fictional library, pick up a fictional non-fiction book, and read it.
I love that!
My favorite event when reading a book in Elder Scrolls is when I gain some bit of knowledge that can be applied to the rest of the game. Like (and here's a simple example) when you find a dead man's journal in a dungeon and it gives you a hint on how to solve some upcoming puzzle or survive a nasty trap.
But that's like putting a neon sign over the knowledge. You can literally trip over what you need to know.
A step up would be books like Catalogue of Weapon Enchantments, which sort of reads like an in-game instruction manual with a little bit of character, but it still feels like you're learning elements that other characters in the game would also know, and not what the X button does.
Personally, I want knowledge that I can use to find some lost city, or use my spells in ways I hadn't previously considered, and I'm not talking about opening a book and being granted a small, numerical bonus to my skills, which is what some books do.
I'm talking about actual knowledge that I can apply in-game, which makes me feel more like a wizard than any stat bonus or level-up ever could.
Alchemy is great for this. All of the ingredients in the game have hidden effects, so a lot books drop hints (or out-right tell you) about how you can use some local mushroom to create a potion of healing.
It's also fun when you find out that the subject of a book is a character somewhere in the game.
Or even better: the book's author.