It really depends on where you want to campaign. If you want to campaign in Stygia, then Across the Thunder River would not be very useful (although it is one of my personal favourites).
Although I am biased, for general gaming, I would recommend Return to the Road of Kings and Ruins of Hyboria as your next purchases.
Of course, you need to define useful. The above are what I consider the most useful in terms of information about the world and the things in that world.
But if you are looking for feats, character concepts, optional rules, and class-combos, then you should consider the Hyboria's F. series, the Player's Guide to the Hyborian Age, and Pirate Isles. I would add Scrolls of Skelos to that, but you might consider waiting for the 2E re-imagining of that book.
If you like religion and cults, you might consider Faith & Fervour.
Then, of course, pick up the specific sourcebook for the region you are adventuring in (if available).
If you want a pre-made adventure, then Conan and the Heretics of Tarantia is my strongest recommendation. Across the Thunder River also comes with an adventure that has had some positive response.