The Untold Story of Haruhi Suzumiya is a booklet included with the first printing of The Surprise of Haruhi Suzumiya.
It includes the story of how the author, Nagaru Tanigawa, came up with the name of the series (specifically why he chose the Melancholy), out of a total of 45 possible titles.
The booklet also describes the cover designs, why Ryoko Asakura was chosen for the image on The Disappearance, and how it made sense for Yuki Nagato to be doing a "funny face" on the cover of The Indignation.