http://www.imperial-library.info/content/pocket-guide-empire-first-edition-skyrim - I've linked the Skyrim section, but http://www.imperial-library.info/content/pocket-guide-empire-first-edition-cyrodiil and the rest of the guide is well worth reading. Its heavily bias pro-Skyrim and pro-Empire, but it gives us some of the best insights into Skyrim culture and history.
http://www.imperial-library.info/content/pocket-guide-empire-third-edition-throat-world-skyrim - more recent, with info about history and Skyrim events at the end of the 3rd era.
http://www.imperial-library.info/content/morrowind-children-sky - general information on Nord culture and good info on Thu'um.
http://www.imperial-library.info/content/morrowind-frontier-conquest-and-accommodation-social-history-cyrodiil - describes some early Nordic history.
http://www.imperial-library.info/content/oblivion-five-songs-king-wulfharth - Summaries of Nordic legends, more mythological than historical. Valuable for their interpretation of important Tamrielic events. The http://www.imperial-library.info/content/morrowind-arcturian-heresy is its sequel, and also worth a read.
http://www.imperial-library.info/content/morrowind-sovngarde-reexamination - the Nordic view of the afterlife.
http://www.imperial-library.info/content/races-tamriel-nord - contains descriptions of Nords from various games, pictures of them, and a comprehensive list of their gods.
The following links were written by Michael Kirkbride, a contractor for Bethesda, and have not appeared in game.
http://www.imperial-library.info/content/seven-fights-aldudagga - a series of Nordic legends. Great for mythology and Nordic culture, particularly the nature of Alduin.
http://www.imperial-library.info/content/nords-lack-creation-myth - an interview with a Nord about their mythology. Again, a good cultural indicator.
http://www.imperial-library.info/content/shor-son-shor - a theoretical creation [hi]story.