One of my blog readers requested my suggestions for learning about first century Jewish life. I wrote my college thesis about women in the first century, so I know a little (very little - scholars seem to have a lot of conflicting opinions) bit about this. Here's some quick suggestions:
For the beginner - The Jesus I never knew by Philip Yancey. Yancey recounts his personal experience with learning about Jesus in the context of his society.
For a scholarly, but still accessible, treatment - try some of the books by N.T. Wright, a well-respected British scholar.
If you want to be challenged, try The historical figure of Jesus by E.P. Sanders. Sanders is interesting - a Jewish scholar of the New Testament.