The Theory of Moral Sentiments
http://www.econlib.org/library/Smith/smMSCover.html
Although Mill is fairly explicit in his argumentation and framework, one area he deliberately glosses over is the role of sympathy in moral development. Adam Smith, however, wrote an entire treatise on the matter, and what little Mill says about the matter seems to more-or-less reflect Smith's views. It would therefore behoove the close reader to supplement their reading of Utilitarianism with The Theory of Moral Sentiments.
The History of Utilitarianism
http://plato.stanford.edu/entries/utilitarianism-history/
Readers interested in tracking the historical development of utilitarianism from pre-classical to modernity will benefit from reading this entry in the Stanford Encyclopedia of Philosophy on the subject.
Pleasure
http://plato.stanford.edu/entries/pleasure/
A substantial part of the preamble to Mill's theory is clarifying what pleasure means specifically in his conception of utilitarianism, compared to other understandings of the term. Readers interested in digging deeper into this discussion should begin with reading this entry from the Stanford Encyclopedia of Philosophy.
