Nightfall said:
Voady,
HOLLOW faust! Geez...
Tough talk for someone who used to say "Slacerian."
Edit: Used to? I noticed in your list below, you did it again.
I suggest in this order:
Divine and the Defeated,
Scarred Lands Campaign Setting: Ghelspad
Scarred Lands Gaz: Ghelspad
Scarred Lands Gaz: Termana
Scarred Lands Campaign Setting: Termana
Strange Lands: Lost Tribes of the Scarred Lands
Edge of Infinity: The Scarred Planes
Hollowfaust: City of Necromancers
Mithril: City of the Golem
Hornsaw: Forest of Blood
Shelzar: City of Sin
Both Vigil Watches
Blood Bayou
Blood Sea: Crimson Abyss
Echoes of the Past: Slacerian Legacy
I concur with the thought of hitting Divine & Defeated early. Not so much for rules material, but because if you are planning to GM it, it lays out the major conflicts of the setting.
For rules material, I'm with Voad' about getting CCR early.
Other than that, I think it would ease the pain of a newcomer to focus on one continent or the other. So go for Ghelspad or Termana first.
Ghelspad books include the Ghelspad Gazzeteer and Campaign setting, Hollowfaust, Mithril, Shelzar, and Hornsaw. (I think Vigil Watch: Asaathi is also free at DTRPG still, and they are very active on Ghelspad. Plus its a cool book.)
Termana would be the Termana books and Blood Bayou (and sorta Blood Sea, but that's more the book if you wanna shuttle between the continents.)
Strange Lands is the only book on the remaining continents, but you might want to consider getting it early as it packs a lot of info into one book, and will give you a lot of variety for your money.
Why Edge of Infinity? That seems like a book you could safely save for later.