Early Christianity in its Jewish Context

These books have been useful in understanding our faith in its context

Jesus and the Dead Sea Scrolls

Jesus and the Jewish Roots of Mary: Unveiling the Mother of the Messiah

Jesus and the Jewish Roots of the Eucharist: Unlocking the Secrets of the Last Supper

The House of the Lord: A Catholic Biblical Theology of God's Temple Presence in the Old and New Testaments

Paul, a New Covenant Jew: Rethinking Pauline Theology

Dr Brant Pitre has quite a few lectures available for purchase.  The website also links to his notes for each of them.

The New Testament and Rabbinic Judaism, by David Daube.  Currently not in print, but you can probably find a copy at someplace like abebooks.com