On the Reformation: Diarmaid MacCulloch, 'Reformation: Europe's house divided, 1490-1700', London 2004. EDIT: This is an excellent read, very informative and entertaining

On the Thirty years war (and naturally with some information on the HRE): R.G. Asch, 'The thirty years war: The Holy Roman Empire and Europe, 1618-1648', New York 1997.

Sadly I don't know any good books which only cover the HRE.

A. G. Dickens The Counter Reformation does great job at explaining the difference between counter reformation and catholic reform.

Regarding the 30 Years War, I highly recommend "The Thirty Years War: Europe's Tragedy" by Peter H. Wilson. It carefully examines the geopolitical antecedents as well as the conflict itself, paying attention principally to the Holy Roman Empire and Spain.