I'll have to read His Dark Materials again soon, because I was blown away by it the first time. Northern Lights might have been my favourite of the three - not sure any more. I certainly love the worlds he's created; they're full of intrigue and I was often left wanting more detail, more exploration.
For the past six years or so, Pullman has been working on The Book of Dust
, which is meant to go into details about things that he couldn't discuss in the trilogy (how Farder Coram met Serafina Pekkala, etc). We fans have been waiting for years, and may be waiting as long as Ober fans for The Sending
, but if he does finish this book, it could be what you're looking for.
There are also two short stories, 'Lyra's Oxford', which is set about four years after The Amber Spyglass
, and 'Once Upon A Time In The North', which is about how Lee Scoresby and Iorek Byrnison met.