My favorites:
**Two great spooky short stories that are sort of tied together. I definitely recommend that you read them if you haven't yet. They gave me the chills.*
**The Woodcutter's Wife - A tale of a woodcutter's wife cursed for her deeds.
http://www.imperial-library.info/content/woodcutters-wife
**Cabin in the Woods - A creepy story about a soldier and a ghostly woman.
http://www.imperial-library.info/content/cabin-woods
Ghosts in the Storm - A story of a Khajiit caravan coming under attack from unknown creatures during a terrible storm.
http://www.imperial-library.info/content/ghosts-storm
A Dream of Sovngarde - Story of a Nord's dream the night before his glorious final battle.
http://www.imperial-library.info/content/dream-sovngarde
Honorable mentions:
Flight from the Thalmor - A great account of a Nord's capture and escape from Thalmor Justiciars.
The Death of a Wanderer - The tale of an Argonian explorer. Also gives a very interesting explanation on the gemstone dragon claw keys.
The Marksmanship Lesson - An story about a Bosmer slave's interesting way of revenge.
There are more books that I liked but for the sake of clogging this post I'll leave them out.
So what are some of your favorite books in Skyrim?