Yup, I read a lot in-game. It makes the world a lot richer, and more immersive for me. Besides, some of the stuff is absolutely brilliant, like that book "The Red Kitchen" in Skyrim (Not going to spoil it for anyone.), if you've played Oblivion. And I have to say, I probably wouldn't have liked the ME's half as much if I hadn't found out all that pointless yet fascinating info from the Codex.
I DO also read a lot in the real world. I was actually bullied in school over that, so I guess you could say I read TOO MUCH in the real world.