The Holy Quartet for the Scarred Lands is made up of The Divine and the Defeated, The Creature Collection Revised, Relics and Rituals I and The Scarred Lands Campaign Setting: Ghelspad. These are effectively the core books for the setting.
The Ghelspad hardcover can potentially get swapped out for the gazetteer without much difficulty. Divine and the Defeated, meanwhile, is mostly worthwhile for detailing the religions and myths in greater detail - it may not be strictly necessary, but it's easily the best book out of the entire campaign setting and quite possibly bound to serve as the basis for more than a few story hooks.
Meanwhile, The Creature Collection is the source for most of the monsters you're going to find referenced in other books. The asaatthi, ratmen and pretty much every Scarred Lands-specific monster other than the sutak referenced in a Scarred Lands book is mentioned here. The sutak, meanwhile, are in the second Creature Collection. Unless you're using Hollowfaust, though, the sutak aren't that big a deal.
Relics and Rituals, meanwhile, also serves as the basis for a few organizations and magic items of note in the setting - it briefly describes the Vigilants of Vesh and the Penumbral Lords through their prestige classes and goes into artifacts like the Bells of Non and Shards of the Forsaken. It also details True Rituals, ritual magic and the arcane heat that gets referenced in many Scarred Lands books.
Everything past those four is extra. Some of the better books are the ones detailing Burok Torn and Hollowfaust. The Termana hardcover's another good book, with a slight twist on the settings religion. Relics and Rituals II goes into the settings astrology, making it another worthwhile book in some ways.
Also: the best description given of the forsaken elves is in the first Creature Collection, but was left out of the revised version. If you already own the initial Creature Collection, nifty. If not, while it's probably not worthwhile to buy the book for their description alone, if you have any intention on using forsaken elves - try to track it down and read the entry, at least. Suffice to say, later descriptions on the race are either scant...or just suck hard, like in The Faithful and the Forsaken.