Here is a link to the
Greyhawk Collector's Guide. It was compiled here on ENWorld.org by [MENTION=9849]Echohawk[/MENTION] and contains all (?) the material released over the years for Greyhawk. I'll comment on a few of them.
Modules: Many of these are pretty iconic. In fact, in the list of top adventures of all time -- according to Dungeon magazine -- 7 of the top 10 were Greyhawk modules (#1 Queen of the Spiders, #3 Tomb of Horrors, #4 The Temple of Elemental Evil, #5 Expedition to the Barrier Peaks, #8 Return to the Temple of Elemental Evil, #9 White Plume Mountain, and #10 Return to the Tomb of Horrors). I would definately recommend Queen of the Spiders and The Temple of Elemental Evil.
Boxed Sets: Coming from the Realms you may find the World of Greyhawk boxed set pretty sparse in content - which it is. It provides a good outline of the Oerth without going into too much detail.
The City of Greyhawk is my personal favorite. It focuses on the city and domain of Greyhawk; it includes a good amount of information including lots of NPCs (though, depending on your persuasions you may find the existence of a talking goat a little off-putting - I know I did).
From the Ashes puts Greyhawk into a darker post-war setting. It expands upon the information provided in The City of Greyhawk. If that is a style of game you like then this would also be a great boxed set to pick up. Also look into picking up the Marklands, another excellent sourcebook for post-wars Greyhawk.
I never owned Greyhawk Wars so I cannot comment on it.
Avoid Castle Greyhawk. It was a joke module.
[MENTION=1465]Li Shenron[/MENTION] There was a ton of information on Greyhawk produced during the 3rd Edition years if you include what was produced in Dragon magazine, Dungeon magazine, and Living Greyhawk. Though, admittedly, the Living Greyhawk information can be difficult to acquire.