I primarily DM, but I also play.
For 3.5, I picked up the Core Books, the Complete Class Books, a couple of Races Books, Eberron Campaign Setting, some Eberron Supplements, and a couple of others.
For 4e I have the Core Books I and II, AV, the Powers Books that are out so far, Open Grave, Draconomicon I, Manual of the Planes, Eberron PG, Eberrong CG, and Eberron Adventure. I don't plan on getting AV2 or the FR Books. I plan on getting any DM fluff books that I think will be useful (looking forward to Dark Sun), future PHBs, DMGs, and future Powers Books (assuming they continue at the current quality level). Future MMs and AVs I might consider picking up, depending on the contents, but I use the DDI a lot, and so I don't find them as useful as I once did.
I agree with WalterKovacs that the 4e Powers books are more useful than the Complete books from 3.5.
AllisterH, I think that one thing WOTC gets is that it cuts down on bloat issues for the system, which ultimately could result in more sales. With options spread across too many books, it makes the system seem overly complicated, and increases the buy-in required for new players. It's a lot easier to get someone into the game if you tell them they can play with just a PHB (and possibly PHB2/3 if they want one of those classes, etc.) and they might pick up an X Powers book if they want to see some other options, than it is if you tell them they could play with the PHB, but to get a really good character they need to have various feats and options scattered through a half dozen books, particularly if some of those books have only one or two things that would interest them. Also, focussing the material makes it more likely that someone interested in the material will purchase it. As a DM, I am more likely to purchase Open Grave, which has a lot of DM focussed material for me to use, than to purchase Libris Mortis, which has a lot of player options in it, diluting it's usefulness to me as a DM since I am not likely to use those options.