I just finished reading the Kindle edition of Jon Peterson's Playing at the World the other night, and it would be an understatement to say that I'm impressed. Peterson's book is clearly the definitive starting point for any history of RPGs, capacious in its scope and historical sweep. I'm particularly amazed at the dogged character of his archival research: he relies almost exclusively on contemporary documents, describing the birth of roleplaying games as those who were inventing them saw things. Gary Gygax comes across as a much more impressive figure than the control freak I remember from those early Dragon editorials about what counts as official D&D--he has an air of the polymath about him. I also found it fascinating to read about the gender shock that D&D represented to the almost exclusively male worlds of wargaming and miniature gaming; Lee Gold figures prominently in this history. Because of my recent T&T kick, I felt that Peterson's take on the game was slightly unfair—but then he's clearly talking about the earliest editions of T&T, not the Fifth Edition so expertly edited by Liz Danforth.
All in all, I stand in awe of Peterson's achievement and wholeheartedly recommend the book to those gamers who have yet to encounter it.