I'm in general agreement with most people here: Hobbit, LotR, Silmarillion, Unfinished Tales, everything else.
In my own case, I read them as they came out in Ballantyne paperbacks: my college roommate when I was a sophomore had the Hobbit and LotR and affirmed it when I asked if they were any good. So I got my own copies and fell into that world so hard I'm still reeling nearly 43 years later!
The only other thing that was available then was the Tolkien Reader, so I grabbed that, and then Smith/Giles when it came out (and it amazed me that they'd reprint Giles when it was already in Reader, but they never updated Reader to include Smith and simplify things!). And then there was The Road Goes Ever On, because I'm also a music nut and also because of all the tantalizing notes, pre-Sil. So when Sil came out I grabbed it, and Unfinished likewise. Since then I've gotten Father Christmas, and Mr. Bliss, and Roverandom, and Gawain/Pearl/Orfeo. And lots and lots of books about him, including the Biography and Letters.
But I don't have any HoME volumes, and there's a book of his essays out that I don't have either. Why? Well, I simply haven't found the essays yet. And when HoME started coming out, I figured I could wait; they were scholarly, after all, and frankly I wasn't all that interested in the history of the development of the mythology. By the time the volumes concerning the development of LotR came out, in which I was
interested, the covers had gone from being plain solid color (appropriate for a scholarly tome) to illustrated covers which were fancier than those of LotR itself!! And that turned me off. Can you believe it??
I finally got Children of Hurin, used, but haven't read it yet.