Windhelm House has in fact 12 shelves, each capable of holding 11 books.
There are four bookshelves (with 2 shelves each) and one taller bookshelve (with 4 shelves) with the total of 12 shelves, the house can hold 132 books.
I just bought that house in order to get the Windhelm Home Decorating Guide book.
Edit:
Alright, I own 4 houses in Skyrim, so here im listing the houses and its book space numbers (Only Interactive bookshelves).
Whiterun - Breezehome: 47 Books
Riften - Honeyside: 72 Books
Windhelm - Hjerim: 132 Books
Markarth - Vlindrel Hall: 162 Books
Solitude - Proudspire Manor: 132 Books
Thats it.
Detailed Info:
Whiterun's Breezehome: Livingroom - 1 Bookshelf with 2 shelves (18+18), Alchemy Lab - 1 Bookshelf with 2 shelves (11+11).
Riften's Honeyside: Bedroom - 1 Bookshelf with 2 shelves (18+18), Basement - 1 Bookshelf with 2 shelves (18+18).
Windhelm's Hjerim: By the stairs - 1 Bookshelf with 2 shelves (11+11), Secret Room - 1 Bookshelf with 2 shelves (11+11), Kitchen - 1 Bookshelf with 2 shelves (11+11), Armory - 1 Bookshelf with 2 shelves (11+11), Bedroom - 1 Bookshelf with 4 shelves (11+11+11+11).
Markarth's Vlindrel Hall: In front of Alchemy Lab - 3 Bookshelves with 3 shelves each (18+18+18 + 18+18+18 + 18+18+18).
Solitude's Proudspire Manor: I havent bought the house yet, but I will when I have the money, in the meantime according to Ricky, the house has 6 bookshelves with 2 shelves each. 11 X 6 X 2 = 132.
Windhelm probably offers the highest convenience factor. The market neighborhood, directly to the South, offers access to a full set of outdoor smithing equipment, as well as an Arcane Enchanter, at least three 'high-value' merchants (two general goods, including Niranye who is a Fence, and a Blacksmith), all without a loading screen. The house itself offers both Alchemy and Enchanting facilities, as well as the highest number of display racks for equipment of any home, and Windhelm offers an additional battery of merchants over in the Grey Quarter on the eastern edge of town.
Downsides include the somewhat high price, long distance from Windhelms fast-travel point, the prolonged string of quests required to buy the house (you basically must resolve the civil war), and the potential for significant bugs related to the Blood on the Ice quest, in which the house is involved.
Riften deserves an honorable mention for Thieves Guild members. While it lacks smelting services, the upgraded Ratway, with it's 4 additional merchants, puts somewhere in the neighborhood of 12,000 Merchant Gold in close proximity - easily the most of any city. Those who choose to take the moral high-ground may find the mercantile climate of Whiterun to be more hospitable however.
Best Answer
If you complete the restore the Thieves Guild to its former glory quests, all the fences will have 4000 gold to barter with. You can further boost this via investing and the speech perk for a total of 5500 per fence.