Some of the books in Skyrim are separated into multiple volumes, for example "The Wolf Queen". Is there any benefit gained from reading all the books in the series, or from holding them all at the same time, etc?
There is no mechanical benefit from collecting all the volumes of a series of books.
There are a couple of ways someone could otherwise benefit:
- Collectors get a profound sense of satisfaction from completing a set.
- Reading the entire set gives the entire story around a particular bit of Elder Scrolls lore. In TES games the designers go to sometimes impressive lengths to make the events around your character relevant to the ancient history of the world, so having the background knowledge can significantly increase the enjoyment of the game's quests.
I get a little bit of #1, but I find #2 really makes a difference sometimes. It was some books on Tamrielic creation myths and on the history of the Great War that made me decide I really hate the Thalmor, and I haven't even met one in game yet. When I do, it will be really interesting to see whether the Thalmor have earned it, or if my character will have to rethink her understanding of the War.