Much of the Scarred Lands material, as others have already mentioned, is not revised third edition compliant. However, that shouldn't be too big of an issue.
As has already been mentioned, probably the most important book for you to have is The Scarred Lands Campaign Setting: Ghelspad hardcover. It details the most supported, most often mentioned, essentially central hub of the setting.
After that...probably the Creature Collection Revised. For day to day activity, of monsters and encounters, this is likely the one book you most need after Ghelspad to help turn your game into the Scarred Lands. It details the asaatthi and ratmen both, along with a number of other creatures to help set the mood.
What's been absent from other lists, and which I find a bit odd for that, though, would be Divine and the Defeated. If there's anything that sets the Scarred Lands apart from other settings, in my opinion, it would be its religion. This book details all the major gods, many of the demigods (Who are referenced here, there, and everywhere in other Scarred Lands books, and if you don't own this, you're going to be a bit left out on the dark on them), as well as the titans. It goes into their faiths, sects, the Divine War, and more. This book makes up the very heart of the setting, in my opinion.
After those three, Relics and Rituals I. It has some of the remaining framework for the setting in it, details a few of the setting-integral prestige classes (most notably, the Vigilant), goes into rituals and true rituals, and the flavor text for a number of the spells and magic items helps better familiarize one with the setting as well. Some of the artifacts in particular help to establish the setting.
Ghelspad hardcover, Creature Collection Revised, Divine and the Defeated and Relics and Rituals I. Everything else, while certainly good, isn't necessary. Should you ponder on picking up any of the regional books (Hollowfaust, Burok Torn, etc), the information in the Ghelspad hardcover should set you in the right direction on which will suit your tastes. There's also the Termana hardcover, which is good as well. Relics and Rituals II, while it does offer up the details on the zodiac of Scarn, isn't too noteworthy beyond that - some of the spells and prestige classes have balance issues, and it doesn't quite help set up the setting like the rest of the books have.