My favorite is definitely "A Game at Dinner". I just love that sort of thing. I first picked it up in that cave where you get the White Phial, and read it in there. It reads great with the dark and gloomy background music of the cave, which really adds to the atmosphere of the book. It's a really good and well-written story that genuinely builds up tension and suspense and draws the reader in. I was surprised that a made-up book in Skyrim could be that entertaining.
I'm also quite partial to "The Cabin in the Woods", which I read after finding in some inn somewhere (I think it was the Nightgate? Or maybe Dead Man's Drink? Not sure). That's a great one.
I haven't read The Wolf Queen yet because I can't find Volume 6 anywhere. I have all of the volumes except Volume 6, and I don't think I found that volume in any of my previous playthroughs either. I'm gonna look harder now though since it seems to be a popular one, based on this thread. I had already resolved to read it anyway since I did the Wolf Queen quest in Solitude in my previous game.
I haven't read very many of the books in the game honestly. I've read some, but most I just pick up and put away to read later. I always mean to but, apart from the ones that are essential to read to move a quest along, I just never get to it; I collect them all and stick them on my shelves in my houses and there they sit. Kind of like in real life lol. I think I have "The Locked Room", but haven't read it. As it seems to be a popular one on this thread, I think I'm gonna have to read it.