The Traitor's Manual is a general background supplement on the secret societies of the game's setting, Alpha Complex. Crash Priority is a collection of missions and pregenerated Troubleshooter player characters. The Mutant Experience is a collection of new mutant powers; every player character in PARANOIA is a mutant. All of these are good books, but none are essential early purchases -- though perhaps the pregenerated characters in Crash Priority would come in handy after you've gotten tired of the ones in the rulebook.
There is also STUFF, a large book of all kinds of equipment. If your players like PARANOIA, they'll love the things in this book, so that would probably be your first purchase after the fine products PaulB mentions above.
WMD and Extreme PARANOIA probably work best for more experienced Gamemasters, so you can defer those until you ultimately decide you love everything about the game and must have it all.