Exalted is, after D20, tied with spot 2 for all-time-most-loved games with Shadowrun.
And if you know me and my love for Shadowrun, that's high praise.
Get the main book, and "Book of Three Circles" (BoTC is almost a must if you want to run magic users).
Skip the splats, at least a first, would be my suggestion, and go for Fatsplats... hardcovers with entirely new types of exalted in them.
Of the ones out so far, in order of my preference, we have Dragon Blooded, Sidereals, Abyssal, and Lunar... and mind, the difference is so slight from most favorite to least as to be negligable.
I would suggest picking up DB first, because the DB are kinda the main protagonist of Solar Exalted (The exalted covered in the main book), but are also very doable to run as players if you want to. DragonBlooded are the weakest of the Exalted individualy, but there are TONS of them. They are elemental-focused... Earth, Air, Fire, Water, Wood.
Sidereals are hard to run as players, but not impossible. They are based on celestials.
Abyssal are hard to run as players (But rewarding if you manage it!), but make GREAT villans. They are the karmic inverse of Solars, a twisted mockery of them.
Lunars are shapeshifters. Easy to run as players. They are combat powerhouses... Though Solars are the "most powerfull" exalted overall, particularly through access to Solar Circle Sorcery, Lunars can easily compete with or outstrip Solars in pure physical combat.
Not out yet are Alchemical Exalted or Wild Ones.
http://exalted.rpgcompendium.com/ is a good starting point.