I only just recently saw The Missing Pieces for the first time, and it's pretty good. Some of the material definitely adds a bit more elements to the overall mystery of the show, but even the stuff that doesn't is still a nice throw back (like this scene) if you've never seen the footage before.

I got "Final Dossier" in the mail today, but haven't started it yet. From what it looks like, though, it's basically just a quick, fill-in-the-gaps thing for what happened to all the characters between FWWM and Season 3. Not nearly as elaborate or intriguing as Secret History. I get the feeling it won't really offer much into TP lore except some basic "Oh, here's what happened to this character we didn't see" sort of stuff.