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nickaepi: Thank you! My ADD gets in the way of my gaming sometimes. ;)
jsidhu762: Me too. I have a specific issue unique to Icewind Dale 1+2. I would make a character and when I'm done I wouldn't be satisfied with how he came out. Whether its the class, stats, or the little back story I came up for him. I call it creation paralysis.

Sometimes this would go on for over an hour.
Only an hour? I'm terrible too! :)
low rated
Also. Stay far away from Siege of Dragonspear. It doesn't mix well with the rest of the series at all. Plot-holes galore, and extremely poor writing.
Good news if you're a hardcore completionist: there are a ton of different books the game for you to read. You'll get more lore than you'll ever need if you just read everything you find in the game.

As far as outside reading goes, the Avatar Series specifically relates to the Time of Troubles, essentially the prequel to Baldur's Gate. I've never read them myself so I can't speak to their quality, and I'm not sure how much focus Bhaal gets, if any. If you really want to get acquainted with Faerun's pantheon (which is considerable) then consider hunting down one of the two old D&D splatbooks: Faiths & Avatars or Faiths and Pantheons.