*grins* More converts to the setting
I'll echo what Ruined said, Factol's Manifesto and Uncaged:Faces of Sigil are wonderful books.
Beyond what's been said so far, I'll push 'Faces of Evil: The Fiends' as one of the single best monster ecologies ever published. Everything from the history of the various fiends, their interactions with each other, roles of the various subtypes within their own societies, and more. Wonderful book.
The pdf's aren't bad, though a paper copy is better IMHO. Most of the books, with the exceptions of the Planes of Conflict and the Hellbound:The Blood War box sets are regularly available on Ebay and reasonable in terms of price. The two I mentioned can get... pricey. However, they're worth it.
Planescape had a level of fluff and depth that makes alot of other campaign settings pale in comparison (Not naming examples so as not to insult any fan of any particular settings)
It also gave alot of opportunities that other settings didn't provide, and a different approach to many things oftentimes. The role of belief and philosophy was stressed by way of the factions, and the impact of the law/chaos alignment axis as expressed by The Blood War was deeply detailed and ingrained into the setting.
And mystery... there were unanswered questions out there, and not every one of them perhaps had a single easy answer. The Lady of Pain was just one example, and you had others abound like The Last Word and the ruins in Pelion on Arborea, The Harmonica in Pandemonium, the legends surrounding the origin of The Keepers, etc.
*adores the setting*
We're trying to hold a candle to the setting over at Planewalker, and I'm glad you've gotten interesting in it. *smiles*