At the end of the novel, Atticus reads to Scout. Comment on his choice of story.And does it have any connection with themes earlier in the novel...

I agree with the previous poster. I'd like to add, too, that the ending of the novel brings the reader full circle. Before her first day of school, when her teacher had told her not to let her father read with her anymore because it would cause "damage" to her learning, Scout often spent time with her father and a book. At the novel's end she's also wearing overalls again. Contrary to what many people have said about Scout's development in the novel, I believe that she hasn't transformed fully into a young woman or "lady." If you view the ending as a repetition or revisiting of the beginning of the novel, Atticus' choice of reading material makes sense. The Gray Ghost is one of Dill's books (from the beginning of the novel) that he brought with him on his summer visit, right?

Update: I checked the opening chapter and it looks to me like Dill brings the copy of The Gray Ghost with him from Meridian. Two passages in Chapter 1 make me think this: Scout tell us that "Dill bet Jem The Gray Ghost against two Tom Swifts..." and Dill says to Jem: "I'll swap you The Gray Ghost if you just go up and touch the house."