Depends on what you want to play.
To start, you'll want the main Rulebook
. This has the core rules for Saga and you'll be referring to it no matter what Age you play in.
Another good buy is the Book of Battles
supplement. This has rules for randomized pick up games, tournament style games, mutliplayer games, and campaign games.
Then it comes down to what Age you'll want to play in.
If you're interested in the Dark Ages, you'll want the Age of Vikings
If you're interested in the Crusades, you'll want the Age of Crusades
If you're interested in Fantasy, you'll want the Age of Magic
There's likely going to be an update to Age of Invasions (post-Roman Britain), and supplements for Rome and Samurai.
Once you've got the right book, you'll have to see what factions you like. From there you can get the faction appropriate Saga dice (or make your own/just use D6s
and translate the pips to the symbols needed on the Battle Boards).