As I mentioned in my introductory post I am also a vinyl collector, so of course that has intersected with my love of Tolkien.

My favorites are definite the Caedmon records featuring Tolkien's own recordings.
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I hope to one day still add the second Silmarillion vinyl, but thus far that one has been outside of my financial reach.

The reading performance by Nicol Williamson of The Hobbit is another gem!
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I also have a lot of fond nostalgia (as flawed as they are) for the old 70s/80s animated features, so I've been working through collecting most of the vinyl related to those movies as well.
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Speaking of the animated movies, the 1977 Rankin/Bass Hobbit holds a special nostalgic place for me, so one of the more niche parts of my collection is all of the analog versions of that film on Betamax, VHS, and even the RCA CED VideoDisc.
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