Obviously, you'll need the WHFRP2 core book, but beyond that, I'd get the following books:
#1 Sigmar's Heirs- assuming you're wanting to run your game in the Empire, this book is essential for doing so. While the maps aren't great, the background material is invaluable.
#2 WHFRP Bestiary- the best creature book out there for production values and flavor text, bar none.
#3 Tome of Salvation- this book just came out, but it details all the faiths of the Old World, and has a TON of background info that lets you understand religious practices, festivals, holidays, heresies, and religious orders.
#4 Shadow of the Horned Rat- lets face it, we all love Skaven.
Past that, the other books I've gotten a lot of use out of are Tome of Corruption, Realms of Sorcery, and the WHFRP Companion. The adventures are nice to have, but I use them more for inspiration than to run as-is. The Bretonnia book and the Border Princes are well done, and if you intend to campaign in those areas, they are also great books.
As far as the novels go, I've enjoyed the Witch Hunter novels, the first three of the Gotrek and Felix books, and the recent short story compilation Tales of the Old World. Dan Abnett's Darkblade novels are decent reads too, although they concern the dark elves and don't directly deal with the old world, but give decent insight into the workings of Chaos.