I am running a Pathfinder Dark Sun campaign, and I've done my fair share of converting. Dark Sun is my favourite setting of all-time, and I've read most of the setting books. That being said, I think the books are just good as a starting place - you need to take them, get rid of the junk, and make it your own.
My favourite Dark Sun setting books, in no particular order:
1) The original Boxed Set. I particularly use the hex map. Of course, the GM's book is very useful, as well - it goes into a lot of fluffy detail about the setting, culture, and the like. My favourite bit about it is that it is relatively brief in describing the city-states, and assumes the GM will expand out on his own.
2) The original monster set. Dark Sun doesn't have a lot of standard D&D monsters, and so the monster book helps in filling the gap. Of course, I've been kind of lazy, and I don't use too many Dark Sun monsters in my own campaign, so I guess this isn't really a required book or anything.
3) The Ivory Triangle. This boxed set describes the eastern lands of the Tyr Region, in particular the ancient, Asian-style city of Nibenay, the african-flavoured city of Gulg (and the war between the two cities!) and the post-apocalyptic artist slave tribe of Salt View.
4) The 4th Edition Campaign Setting. It hurts me to say it, because my hat of e4 knows no limits and all that jazz, but the campaign setting is pretty good. While you can junk most of the rules in the first half, and ignore the fact that the game has tieflings and eladrin (MISTAKE!), the second half is pretty solid. Especially useful are the city maps, if you're the type of person who likes having a lot of source material to work from.
5) Dune Trader. I like Dune Trader because it describes a good campaign model (the merchant campaign, which is loosely what my own campaign is). It also has a system for trading that actually kind of works as written (gasp!). It also describes the city-states and their merchants in the perfect amount of detail, and gives us some more information on mercantile culture.
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There are a lot of other good Dark Sun sourcebooks - I just recommend those as a good starting point. Other ones worth checking out or grabbing if you find them:
1) Earth Air Fire Water: The Cleric sourcebook. Good for mining for ideas, but it is a bit rules-heavy.
2) Will And the Way: A great psionics book, and if you were running a 2e game, I'd say it's a required product, even if you weren't running Dark Sun. Since you aren't using D&D rules, it's really just good for ideas.
3) The complete book of gladiators. The fighter book, though it's less rules-heavy than the others. In fact, there's a lot of cultural stuff and adventure ideas, and even a campaign model. A lot of people love it; I do not, but that is because I have no interest in a gladiator campaign. My players, however, keep making inquiries...
4) The Veiled Alliance: One of my favourite Dark Sun books, but only because of the city-descriptions, demographic information, and trade goods. The actual core of the book, describing the preservers and their underground efforts against the sorcerer kings, kind of bugs me. I'm also not a fan of using ww2 resistance cell structures to describe the preserver underground, as they just don't have the numbers for that to work. Really, the product is a wash.
5) The City State of Tyr: Great product, and a wonderful city-guide. To be honest, it could be in my top five list, except that I only have the PDF version, and so don't know it as well as the others. Tyr does seem to be the default starting place for a Dark Sun campaign (even though in every game I've ever run, the PCs either avoid the place entirely or leave it as fast as they can!).
6) The Revised Campaign Setting: It's okay. It has some nice maps. It has some nice ideas for beyond the Tyr Region. It also has some terrible ideas. It provides a history of the region (blech). It incorporates the novels (blech). All in all, it's also kind of a wash, but a lot of people love it. To me, it kind of realms-izes the Tyr Region. Guh.
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There are also books worth avoiding. I'd buy them only if they are cheap, and I'd ignore most of the information given.
Windriders of the Jagged Cliffs: This would be a fun campaign, but only if you didn't include it in the Dark Sun world. Essentially, flying balloons, jungles, mutated halflings, and pteradactyls are all cool things, but they don't belong in the Dark Sun setting.
Mind Lords of the Last Sea: Same thing as the jagged cliffs, only maybe a bit less so. It's dark and kind of horror-themed, which is cool, but again, this doesn't really fit in the Dark Sun setting (though it does make more effort to actually use Dark Sun concepts, at least). This one has boats, intelligent dolphins, lizardmen, and serial killers. It's a ravenloftization of Dark Sun. Pass.
Elves of Athas: Elves on Dark Sun are unique - thieves, gypsies, criminals, and raconteurs. Do they need a book? Nope. Because, really, you can use the info given in the original setting to make much more interesting elf tribes than the ones given here.
Thri-Kreen of Athas: The thri-kreen do deserve their own book, because they're just so unique. This book has some good ideas, but it's a jumble and a mess. You're better off making up your own ideas on the fly, I think (which I happened to do last session, ad-lbbing a treatise on kreen language!).
The Adventures: Unfortunately, pretty much all of the Dark Sun adventures are terrible. C'est La Vie.
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Hope this list helps. If you have any questions, don't hesitate to ask, or PM me. Have fun discovering the setting!