I suggest looking at HarryT's MOBI versions first:
Shakespeare, William: Shakespeare's Tragedies. v2, 10 Jan 2009
Shakespeare, William: Shakespeare's Histories. v1, 15 Jan 2009
Shakespeare, William: Shakespeare's Comedies. v1, 21 Jan 2009
Shakespeare, William: Shakespeare's Poetry. v2, 22 Jan 2009
That is four books, vs one, but with much better formatting that you are likely to get from a plain text version.