I always "looked" at the books (to get the stats/skills and I think there's a PS3 trophy for reading so many maybe?) but I had never "read" them. Now I'm playing a Khajit mage and I'm actually roleplaying her as a knowledge seeker and having her sit and take the time to "read" the books in the game.
So far a few of my favourites are the standards that you find on most bookshelves like "Chance's Folly" (really loved the twist), "Beggar Prince" was excellent and this afternoon I read "The Cake and the Diamond" which was also quite entertaining. They remind me a little of Aessop...that sort of 'twist' where there's a moral to the stories. Another book I had seen was the Wabbajack (Or is it Jabbawack?) book? That one made me laugh my bum off, the way it was written was so very funny.
I also liked the books that gave a little back story to the issue with the war between the Stormcloaks and the Imperials, as well as seeing what happened to some of the other cities from Oblivion. It gives you a little more insight before picking your sides I guess.
Edit: Today I was reading one of the books (name escapes me at the moment) But it was the one about the Daedra and the archer who never missed. I loved that one, it really made me smile, I just love how how they always get their just desserts in the end, lol.