Some of my fondest memories of Morrowind and subsequent games are in how much detail they went into with so many cool and creative books. None of them were giant tomes, but some had great stories.
Myself, I particularly enjoyed "The Mystery of Talara" and any books related to my favorite skills, as the stories tended to revolve around them and that was cool. Short Blade was one of my favorites in Morrowind, and Blade or One-Handed in the subsequent games, also Sneak.
What are some of your favorites in the TES universe?