I don't know how experienced you are, so I'll say this: RIFTS is a great setting with not so good mechanics. Can be loads of fun, though!
1) If you are experienced, you may find yourself better off using RIFTS as a campaign setting and using the mechanics of a game you know and like.
2) For playing RIFTS proper, you'll need the core book of course. I personally enjoy the RIFTS Conversion guide, but that's for converting non-RIFTS Palladium products into RIFTS. Starting out, pick a couple of books that apply to the area in which you wish to adventure, and go from there. Many of the books are region specific, and a goodly number of them focus on North America. Mercenaries was cool.
3) Don't expect balance. RIFTS doesn't have any. Character classes- called OCCs- range from guys in power armor who could solo an Abrams to homeless wanderers.