If it is a setting I actually intend to DM in then I will buy a fair amount or collect a fair amount over time. I am not a completionist though, so I tend to only buy the books that I think will prove relevant to me. So for me this has meant Forgotten Realms and Golarion.
For settings I might only play in I consider picking up the core book at least. I was not a huge fan of Eberron, but did play in the setting as my group wanted to. So I picked up the core book, but that's it.
Basically the same, but with an important (at least to me) caveat. If the core setting is planned as being only a single book, it better have enough detail within the cover. An example of this would be Ptolus. If I know in advance that its only a single book I'll avoid it unless there are some mitigating circumstances.
There are few things I find more frustrating than discovering a great setting that really captures your gaming imagination, only to see it come to an end after a single book. As a GM I'd much prefer to pick and chose the details I want to include in my game from something that has already been written for the setting, rater than be forced to create it all myself. That level of work and commitment is reserved for my homebrew, rather than a setting I've already paid for.