Definitely the campaign setting and the Planewalker's Handbook. Also, the planescape monstrous compendium appendix. Even though many creatures have been converted in either the MM1 or MM2, many more haven't - and in any case, the monstrous compendium appendix contains beautiful illustrations and more and more detailed flavor text. Since in Planescape monsters aren't usually to be fought, and indeed you can meet and chat with fiends in Sigil if you want, flavor text is just as important as the stats if not more.
With the low price of those ESDs, you can get a lot but don't get overwhelmed. Get confident with the setting before buying everything on the shelf. Besides, you'll need to do a lot of converting (ps3e.com will help in this).
Then, "In the Cage", as Bonedagger mentioned, is good for Sigil details, as well as the Factol Manifesto. For details on single planes, look for the "Planes of..." boxed sets. There are more books, and they're all good, just look for what you need.
If you want adventures, Dead Gods is a long beautiful one while "The Great Modron March" (prequel to Dead Gods) and "Well of Worlds" contain numerous short adventures for every level.