The modules are mostly set in
Gaz1 The Grand Duchy of Karameikos which is the most medieval European fantasy area of the Known World. The Gazetteer series of sourcebooks then expands outwards with different fantasy ethnic regions (Vikings, Arabs, Mongols, Venitian merchant princedoms, magocracy, Native Americans) or demihuman/humanoid kingdoms (Elves, Dwarves, Halflings, humanoids, Shadow Elves). Those are considered the core of the known world and fill in the main continent from the east heading west to the continent interior.
I have a bunch of these and enjoy them. I particularly like
Gaz3 The Principalities of Glantri with its magic expansions and gothic horror subsetting in part of the area, and the merchant princes of
Gaz11 The Republic of Darokin. The low points though are the offensive Gaz10 Orcs of Thar and the silly tourist Carribean themepark themed Gaz4 Kingdoms of Ierendi. A bunch did not like the Gaz14 American Indian themed one either.
Later there were some expansions including the Dragon articles on the Voyages of the Princess Ark exploring more lands which were later included in the Champions of Mystara boxed set, the Empires Boxed Set which sets up the global power fantasy Roman Thyatian military empire of which Karameikos is a part, and the Alphatian floating cities air mage super archmage magocracy empire different from the magocracy kingdom in the gazetteer setting. There was also the Red Steel expansion of lands to the southwest of the gazetteer series with mutation causing magical red steel ore as a Spanish gold rush kind of thing with more expansion lands, and the Hollow World boxed set opening up a whole world of multiple pulpy lost civilizations (fantasy Aztecs, Greeks, Egyptians, Cavemen, Shadow Elves, etc.) and there are hollow world individual area sourcebooks similar to the gazetteer series and some modules.
The poor wizards alamanacs are a series of whole known world yearly plot updates and event advancements, if you want a whole world overview like you would get in a setting book these are the closest that TSR/wizards came out with.
I think the best way is to just pick what appeals the most as far as flavor and dive into the sourcebook for there and not worry about the rest. There are neighbor area relations, but those will be discussed as part of the area sourcebook. Most things are not a big world issue until you get to the late metaplot of the Wrath of the Immortals boxed set.
