One is the history/encyclopdia of the World. It basically talks about the each of the seven kingdoms in Westeros, then the stuff across the sea where Dany grew up, and some sketchy details about the lands further to the east and south of that. There's also basic history about lots of the events. It's basically all supplemental.

Haven't read the History of the Targaryens book that came out last year, but from my understand its also supplemental material that can be read at any time. From what I understand, it tooks about characters who have been mentioned and a few who may figure in later, but no "order" is required.