What books would you recommend? Do you encourage following Reform, Conservative, or Orthodox interpretations of such Scripture?
I'm not knowledgeable enough about Judaism to make such a recommendation. I only know that I also serve the God of Abraham and of Isaac and of Jacob, and I was named after a great king, David. And my Lord, who is Jewish, is a pretty nice guy :-)
If your background is Christian:
I started by first reading the King James version very thoroughly while comparing with other Christian translations. Quite a few questions remained, especially because the religion of my past (one of the Christian fundamentalist churches) is getting to be more mysticist, anti-family and spiritualist each year.
If you've read much from any of the Christian bibles, read about the early history of Christianity, which is the history of the early Roman Catholic Church. Find the best and most authoritative objective sources you can find on the true authors of the New Testament. Know while you're doing it, though, that the study will take a long time.
Josephus (_Antiquities_, Book XVIII, IV, 1 and 2. [and] _Wars of the Jews_, Book II, Chapter IX.) and Philo on Pontius Pilate are very interesting and surprising--a must-read.
Here are some keywords for index searches to find the earliest/best sources you can find.
Marcion, Essenes, Bishop Eusebius, ratified, Augustine, Paul, Tarsus, Cilicia, Asia Minor, Hellenism, Mithraism.
Find all that you can about Paul. My study continues.
If you want to read Jewish text, read about the history of the Torah for background information on that, first. The methods used to keep it the same for so long are remarkable. Then read the Torah in English and Hebrew.