Ashrem Bayle
Explorer
I would start off with:
Basic Set: Characters
Basic Set: Campaigns
Fantasy
Magic
I'd skip Fantasy and Magic. Fantasy really isn't that helpful to veteran fantasy GMs and Magic is a book about only one way of modeling magic in GURPS.
At least, don't get Magic until you've seen the "default" magic system in the Basic Set and are sure that's how you want to do it. If so, it's really good.
My self, I'd instead recommend Powers. That book covers alternate magic systems, psionics, super powers and pretty much anything else. It's my favorite GURPS suppliment. Coupled with the Basic Set, it's more bang for the buck than most any other RPG game book.
Martial Arts is also very good. Don't let the name fool you though, it focuses on more than just the "Asian" styles, including even stuff for knights and modern soldiers.
You might also consider the Crucible Campaign Setting.
