I would love to support 3pp for 4e, which I currently run. That being said I don't, and here's the reason's why:
1. A good gaming store is not close to my work or in the mall. I'm busy. I have a kid. If I'm going to buy a physical book I got to Borders, 95% of the time. They don't have ANY 3pp 4e products.
2. I need a way to preview content or know that it's good. I have not yet found a online reviewer who I feel that I trust and agree with consistently. I probably never will. If I'm going to buy something online, I'd like to read a few pages. This often is not the case.
3. If I'm going to buy a PDF I expect it to be cheap. Maybe this is media prejudice, but I do. When I see a PDF that's the same price as a hardcover book, the chances I will buy it drop drastically. Especially if I'm not familiar with the publisher/writer. Number 2, still applies.
4. My player's don't need more stuff. They all either have DDI or have access to it. They have tons of stuff. If I buy a 3pp book and let them borrow it, it means I can't reference it while they have it. If they have one, that I don't have, I need to approve everything before they use it, with a small ammount of consideratio most of the time, so we can get to the fun of playing.
5. Adventures need to be easily placed in my homebrew setting, and still I'll only buy if I'm pretty sure I'm going to use it. 2 applies heavily here.
That being said, I have not yet purchased a single 3pp product for 4e. It's very easy for me to create things, to google more things, and to pull things out of DDI. However, the one product I still use more than anything besides the first 3 core books, is Toolbox by AEG.
This is a d20 product that a firend of mine bought back in third edition, fell in love with and then I did too. It's paperback, 200 pages and filled to the brim with ideas and generator tables. Sure some of it is stated for d20 but most of it is not and with 4e, the rest is easily converted.
Back in 3.x I bought a book, which is now in storage so I can't get it's title, that was all about how to make you're own buildings, forts and dungeons. As a player you could use this book to figure out how expensive you're dream headquaters would be, how long it would take to build, and how to staff it. It was great. However I can not use it in 4e.
These are the kinda books I really want. Books that don't quite do what the WoTC Books do and help support me in creating things.
I'd buy books of monsters and items as well, but it would mostl likely have to be really cheap or heavily themed so I'd know what I was getting into.