Can you recommend a book that includes Shakespeare's works AND some analysis/insight to help comprehend and understand it more thoroughly?

There are several editions of the complete works of Shakespeare that contain informative and critical essays by leading scholars. The one edited by David Bevington is very good; there are several others, too. Check your library and take a look at several and see which one has the kind of information you want.

There are, of course, also plenty of books about Shakespeare's plays, both collectively and individually, that don't contain the text of the plays but that discuss them extensively. Marjorie Garber's "Shakespeare After All" is one very good one that has an essay on each of the plays.

"Shakespeare's Window into the Soul" by Dr. Martin Lings is very good and worthwhile.

The Lodger

1599 is also an excellent book