Well, if you have money to spend now, here's the complete list of Planescape game products, by release date:
1994-04 Planescape Campaign Setting
1994-05 Eternal Boundary
1994-06 Planescape Monstrous Compendium Appendix
1994-07 Planes of Chaos
1994-08 Planescape Sketchbook*
1994-09 Well of Worlds
1994-10 In the Abyss
1994-11 Deva Spark
1995-01 Planes of Law
1995-02 Fires of Dis
1995-04 Player's Primer to the Outlands
1995-05 In the Cage: A Guide to Sigil
1995-06 Factol's Manifesto
1995-07 Harbinger House
1995-09 Planescape Monstrous Compendium Appendix II
1995-11 Planes of Conflict
1995-12 Planescape Conspectus**
1996-02 Something Wild
1996-03 Uncaged: Faces of Sigil
1996-06 Hellbound: The Blood War
1996-08 Planewalker's Handbook
1996-09 On Hallowed Ground
1996-10 Guide to the Astral Plane
1996-11 Doors to the Unknown
1997-08 Faces of Evil: The Fiends
1997-09 Great Modron March
1997-10 Dead Gods
1998-03 Planescape Monstrous Compendium Appendix III
1998-05 Tales from the Infinite Staircase
1998-08 Guide to the Ethereal Plane
1998-10 Faction War
1998-12 Inner Planes
* This is a very rare item, never released commercially and only produced in small quantities. I don't have a copy
** The Planescape conspectus is a free poster printed by TSR and included in some Dragon magazines and as freebies in some game stores. It has a so-so map of the great wheel, a product tree and a "Welcome to Sigil" blurb. Unless you are serious collector, you aren't missing anything if you don't have this. (But I think I have a spare one of these, which I'll happily post to you if you do want it.)