I told myself I'd read the books as I came across them in the game but there ended up being far too many and lots are pretty damn long. I did read any that were at all related to the quest I was working on at the time though, just to give me an insight/background as to what I was doing and what I'd be up against in the dungeon.
I thought the ending was decent if a bit abrupt. I'm pretty sure I've done almost everything there is to do in the game. Beat all the guilds, finished the mainquest, got all 15 daedric artifacts, finished the civil war. The only other things I could think to do are collecting all the dragon priest masks and just doing random side quests, which would probably get old after a while. I want DLC.