You need a comma to retain the question. "Tell me" becomes a polite formula: Tell me, which books on my shelf would you like to borrow? Without the comma, "tell me" becomes imperative, and you need to correct the position of the verb accordingly and do away with the question mark: Tell me which books on my shelf you would like to borrow.
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You need a comma to retain the question. "Tell me" becomes a polite formula:
Tell me, which books on my shelf would you like to borrow?
Without the comma, "tell me" becomes imperative, and you need to correct the position of the verb accordingly and do away with the question mark:
Tell me which books on my shelf you would like to borrow.