Tolkien wished to create a world that was believable. He achieved this were many have failed by inventing such a depth of history, culture, and geography. His maps are an illustration of this depth of history and I believe help immensely to understand the nature of Arda.

I would also bring to you atention the following site:
Map of Middle-earth (Adobe Acrobat)
This has a map of Middle-earth in pdf format. I think this it is brilliant, have a look!

Colour map of Beleriand, as appeared in the illustrated Silmarillion 927KB	Beleriand, in red and black 983KB

The realms of the Noldor in Beleriand 190KB	The Shire 363KB

Middle-earth 754KB	War in Middle-earth 1170KB

East Gondor and West Mordor as appears in The Return of the King 1792KB	Gondor and Mordor map in black and white 597KB

Thror's Map from the Hobbit 523KB	Wilderland the map from the hobbit showing the North East of Middle-earth 403KB

Númenor 115KB

To learn more about the geography of Middle-earth I suggest you read The Atlas of Tolkien's Middle-earth, by Karan Wynn Fonsted. This is far and away the best book examining Tolkien's works there is. I read it cover to cover (there are a lot more explanations than your average atlas) and I cannot sing its praises high enough. There are hundreds of two-colour (brown and black) maps and diagrams that chart every bit of Middle-earth as well as the rest of Arda. It also shows the plan of the Prancing Pony, distributions of Languages, and charts of the travels of the various hobbit journeys. I could go on forever, but whatever you do buy it!