Dark Sun!? DARK SUN!? HELLZ YEAH!
I love Dark Sun, in case you didn't figure that out. And you're going to have a LOT of fun.
So, here's my advice to you:
1) Don't use the Revised Boxed Set. If you have it, take the nice cloth map and give it to your players... and ignore the rest. The defiling rules seem like they'd work... they don't. Just use the original boxed set's rules (Defilers level faster... it's easy, and it doesn't slow down play). Also, the original set is much darker in tone, and lacks that "Blue Age" crapola.
2) Books you need to own: Dark Sun boxed set, Complete Psionicist's Handbook, the Core books (PHB, DMG, MC).
3) Books that are good to own: The Dark Sun Monstrous Compendiums are great to have, as is The Will and the Way. I'd also pick up The Veiled Alliance, not just for the wizard detail, but because it details every city in much more detail than the core book. A good setting book is also useful (I like the Ivory Triangle, though The City-State of Tyr is also pretty cool). Dune Trader and Dragon Kings are both great supplements; Dragon King is necessary for higher-level play, and Dune Trader can be the basis for an ongoing campaign.
4) Avoid kits. I don't think Kits add much to the DARK SUN campaign... the characters are already powerful, and you don't need to do anything to add to that. If you do decide to add kits, use the Dark Sun kits (From the gladiator book), and be real careful about other kits (from the complete series).
5) Psionics. Psionics in Dark Sun can be a pain in the butt. When I run it, I de-emphasize them in the setting. But, they can be fun - especially wild talents. Wild talents in DARK SUN work much like random mutant powers in post-apocalyptic games - you could roll well, and get an awesome power (Like our half-giant gladiator with Disintegrate), or you could roll something really lame ("Woot! I can make my body weigh less!").
Both the original psionics rules and the revised rules can work in DARK SUN - I prefer the revised ones, myself, but there's a bit more work in using them. My advice is to really understand psionics before you use them in the game, and don't hesitate to use your monsters' psionic powers.
6) Gear. This is the big one. In most D&D games, you start off with basic gear, and you slowly improve your equipment. By 3rd level, you probably have a +1 weapon. And then you get magical armour, and a magical cloak, etc...
In DARK SUN, you start with garbage weapons, often with a -2 or -3 penalty. Enforce that in the game, having the PCs start out with those -3 weapons. As game proceeds, they can keep upgrading their weapons, until they're lucky enough to find bone weapons, which "only" have a -1 penalty. If you do it right, you can see 4th or 5th level PCs going crazy to get their hands on what is, essentially, the equivalent of a cursed, -1 weapon! Only then do you start giving them iron weapons.
(note that, if you follow this, be careful using monsters that can only be hit by magical weapons. Also, the published DARK SUN adventures never did follow this great opportunity, so rework the treasure in published adventures accordingly)
Armour is even better, if you use the revised setting rules, because it can be piecemeal. You can start the PCs off with a full suit of padded armour, and then have them slowly update themselves, one piece at a time. It's a lot of fun to give out three studded leather "left legs", and watch the PCs groan. If you do things this way, you can slow the progression of PCs a bit more - watch your PCs go nuts trying to get their hands on that chitin chain breastplate!
DARK SUN is great if you want to be a stingy GM - it's almost encouraged. PCs shouldn't be floating on a pile of coins, and they should never be fully bedecked in magic gear. Even if they do have a lot of magic items in their possession, odds are they'll want to keep them secret when they enter a city-state, lest their items get confiscated by templars.
7) Power level. PCs in Dark Sun are tougher than their equivalents in other games. But they are not the toughest guys on the block. If they screw up, they'll have to answer to powerful templar gangs, spirits of the land, or even sorcerer-kings. It is a dangerous campaign world, and I recommend you keep that in mind. PCs shouldn't just leap into a fight.
8) Survival. Keep this in mind. Every adventure, there should be a theme of survival that comes up. Whether it's "we're running low on water", or "we're stuck between two rival factions", the game always has to be gritty and dangerous - that's where the fun of the campaign lies. Also, while DARK SUN is a great wilderness game (with the most developed outdoor survival rules in 2e), it is simultaneously excellent for running urban adventures. The fact that there are "only" seven city-states means that PCs can keep on revisiting familiar locales and getting involved in political situations. Lots of fun - especially at higher levels.
