While I agree that having context is helpful when studying lore, it is by no means a necessity. And even then I wouldn't recommend books on fantasy, simply because they are going to influence your view of TES and make you inclined to read things a certain (not necessarily correct) way. I would recommend reading things about real world philosophy, religion, literary criticism, and history instead. In that department, I'm a huge fan of Joseph Campbell.
I was just reading Campbell's "The Power of Myth".
There are a lot of interesting things in it relating to TES.
For instance, he says at one point "Nine is the number of the descent of Divine power into the world", which made me laugh out loud, considering the Nine Divines.
More significantly, he discusses the mythological concept of the Eagle and the Snake, a theme recurrent throughout all of humanity's myths and stories.
The serpent bound to the earth, the eagle in spiritual flight - and when the two amalgamate, we get a wonderful dragon, a serpent with wings.
The Eagle is the downcoming of the god into the field of time. He comes down, descendning into the world of the pairs of opposites, the field of action.
Brings Lorkhan to mind.
...the snake is the symbol of life throwing off the past and continuing to live. The power of life causes the snake to shed its skin, just as the moon sheds its shadow. The seprent sheds its skin to be born again, as the moon its shadow to be born again. They are equivalent symbols. Sometimes the serpent is represented as a circle eating its own tail. Life sheds one generation after another, to be born again. The serpent represents immortal energy and consciousness engaged in the field of time, constantly throwing off death and recurring.
Futhermore, the serpent represents the primary function of life, mainly eating. Life consists in eating other lives. When you look at the beauty of nature, and you see the birds picking around - they're eating things. You see the cows grazing, they're eating things. The serpent is a traveling alimentary canol, that's about all it is. and it gives you that primary sense of shock, of life in its most primal quality. there is no arguing with that animal at all. Life lives by killing and eating itself, casting off death and being reborn, like the moon. This is one of the mysteries that these symbolic, paradoxical forms try to represent.
Alduin eating the world, and Lorkhan creating it.
I think the two are certainly embodiments of that mythical pair.
I thought to suggest Campbell in reply to Telvanni Arch-Magister's post, but decided against it, for the reason Lady N brings up.
But since the subject is broached, anyone with an academic interest in it should read both Campbell and the basics of mytheopic thought, for example,
The Intellectual Adventure of Ancient Man: An Essay of Speculative Thought in the Ancient Near East. It's good to understand that nature of mytheopic thought in order to better grasp the spirit and contradictions of the world of TES.
I certainly don't think anyone should read these things
before immersing themselves in TES lore, though. Take it for what it is, then explore further if you're inclined. Don't misunderstand it through an academic lens.