There's two big things to keep in mind when thinking about this question. The first is that the 95 Theses weren't an overarching explication of what would later be Lutheran theology. We don't even really know if Luther was a Lutheran by the time he posted the 95 Theses. His "conversion experience" while reading Romans is only attested to later in his life, and Luther has a habit of projecting his Lutheranism further back in the past. The 95 Theses were premises constructing a specific argument about the validity of Papal indulgences (with implications about the spiritual/jurisdictional authority of the papacy) meant to start off a disputation with other theologians in Wittenberg. To put it bluntly, Luther was a nerd who wanted to argue with other nerds about a specific point of dogma in order to explore God's revealed truth. The fact that his nerdy disputation exploded into the largest schism of Christianity was unintentional on his part.

The second thing relates to the problem of audience: Luther's 95 Theses were meant for university scholars, not the average European. Given the sources we do have, it is hard to tell what average Europeans at the time would have thought about any of the things that interested Luther until they became Lutherans.

For intellectuals at the time (read: other nerds), however, it's fair to say that if they did not necessarily agree with Luther's conclusions about papal authority, they were probably sympathetic to his criticism of indulgences. Humanist scholars such as Desiderius Erasmus had criticized the practice before Luther. Erasmus in his Greek commentary on the New Testament pointed out several common "errors" of interpretation that traditional Catholic dogma had been rife with, including the underpinnings of indulgence-selling. Erasmus himself saw the practice of selling indulgences as exploitative and corrupt as Luther did, but was reserved enough in his admonitions and had enough clout to avoid the backlash that Luther eventually received (although many of his books were later put on the Index of Forbidden Books).

The reforming ethos that inspired both Erasmus and Luther to criticize the Church had existed for at least a century already. Much of it was anti-papal, if not outright anti-clerical, as well. Attempts at reforming grievances and corruption within the Church had been led by the papacy, especially under pontificates of those like Gregory VII and Innocent III. Papal solutions understandably increased papal authority, often at the expense of secular rulers within and outside of Italy. By the latest Middle Ages, as issues of corruption like simony, pluralism and absenteeism sprung up in the expanding frontiers of the Church, reformers sought more "democratic" structures, such as ecumenical councils, to be the driving force behind reform. That the papacies of the 14th and 15th centuries stymied these attempts only inspired more antipathy between "reform parties" and the papacy. With the rise of Renaissance Popes like Alexander VI and Leo X, who bought their papal crowns and seemed more interested in fomenting political turmoil or building lavish cathedrals, the papal seat had garnered itself a fair amount of resentment heading into the 16th century.

Anti-papal reform sentiments were especially notable in the Holy Roman Empire. The rulers of German lands had experienced intermittent warfare and rebuke with the Papacy throughout the later Middle Ages. There are numerous examples of the Holy Roman Emperor and the Pope butting heads (the Investiture Controversy, the Italian Wars, the entirety of Frederick II's reign) but it comes as no surprise that the ultimate schism arose in Germany of all places. That Charles V called Luther to Worms to determine his fate was itself something of a rebuke to the papacy: Luther was a German, and therefore Charles' subject, and Charles, seeing himself as the director of Church affairs in Germany, found it his responsibility to deal with Luther's heresy.

Obviously not everyone felt that way. Even Erasmus, critical as he was of the papacy, found that the 95 Theses went too far, as did the many humanist scholars (Johann Eck, Cajetan) that disputed with him. However, to the extent that Luther's 95 Theses are 1. Critical of indulgences in content and 2. Anti-papal in substance, they obviously found an interested audience. How big of an audience it was, was not something he anticipated.

For Luther himself, there is...a lot of work done. But I'd be remiss if Heiko Oberman's Luther: A Man Between God and Devil did not make it on a recommendation list.

Since you're also curious about general politics and religion, I'd suggest a general history of the Reformation itself. Carlos Eire's Reformations: The Early Modern World is probably the best textbook account of the period, but I'll always vouch for Diarmaid MacCulloch's Reformation: A History as the more comprehensive account.