Dags, now that you've got the Pulp Alley rules on the way, note that the most valuable book in the series after that has to be Pulp Leagues. It isn't necessary to enjoy the game, but does pull together a lot of important material from other supplements, particularly Terrors and Gangs, while also providing more complete charts of perks and abilities to build leagues and characters, and it incorporates some adjustments made by Dave & Mila.
After that, depends on what interests you. Pulp Gadgets, Guns, & Vehicles, Vice Alley, and Tomb of the Serpent (for the horror deck and solo rules) all have things to add to the system.