A great many books were published for Vampire: the Masquerade over the years - about 45 books were released for second edition alone - and some are decades old now. This can be something of a problem for gamers who are new to the setting; it's not like you can go down to your local bookstore and find these books so you can thumb through them. The good news is that they are available now in PDF and print on demand from the Storyteller's Vault. You can also find many of them second-hand for decent prices through online resellers.
But the question remains: which books should you buy? This is one of the most frequent and important questions that new Vampire gamers ask and it requires a detailed answer. After all, purchasing roleplaying books involves making an investment and you want to make sure that you're going to be able to use what you buy. And the plain fact of the matter is that there are some Vampire books out there that you are probably never going to need. Other books will only be useful if you are allowed to play specific types of characters: If you're a player and your Storyteller disallows elder characters, for example, chances are you're not going to need Elysium.
So below I am going to go over the major books and give some recommendations, with an eye toward usefulness in gaming. This discussion isn't for collectors, since a collector will probably want every book in mint condition as a matter of course. This is for gamers who are looking to own books they'll be able to use on a regular basis.
The Vampire the Masquerade core book is absolutely necessary for anyone who wants to play the game; it contains all of the basic rules and there's just no getting along without it.
The Storyteller's Handbook is really only necessary for those who intend to run Vampire games, since that is its focus. It's chock full of rules, advice on how to run games, and premade NPCs.
The Vampire Players Guide is a very useful book for players and Storytellers to have around. It has half a ton of merits and flaws as well as secondary skills, and it expands on the disciplines. The book also outlines clans and bloodlines that are quite popular.
The Player's Guide to the Sabbat is a must for Vampire Storytellers and can be handy for players if they are going to be able to play Sabbat characters. The book defines the sect and outlines the Sabbat clans, their disciplines, skills and so forth. It also introduces Paths of Enlightenment for those Vampires who shun Humanity and embrace their bestial sides. Some of the elements in this book can be useful when creating any character (like the merits and flaws), but other elements are pretty much Sabbat-only (like the new Thaumaturgical rituals).
The Storyteller's Handbook to the Sabbat is of most interest to Storytellers. Yes, the title is the ultimate clue. The book goes over Sabbat tactics and stories and it offers more pre-made NPCs. It also includes a good section on the infernal, defining Dark Thaumaturgy, the Path of Evil Revelations, and the system for demonic investments.
A lot of people like to pretend that Dirty Secrets of the Black Hand was never made, and they have valid reasons for feeling that way. Some elements in the book are overpowered and others are just annoying. The thing is, you might be able to find something useful if you are willing to dig for it. If you like Vampire and Wraith, for example, you might actually like the Black Hand's ties to the Shadowlands and you might enjoy the Nagaraja. If you're into White Wolf's canon about Lilith, you'll find the Path of Lilith explained here. Biothaumaturgic experimentation isn't overpowered and can be put to good use; the merits and flaws are also fine. All in all, though, this book is more valuable to Storytellers, since they set the limits of their games.
The Elysium book is a must for Storytellers and can also be useful to players. Storytellers can use the rules within to define the elder NPCs in their game and players can use the book to create elder characters, provided their have their Storyteller's approval. Indeed, players should be asked to read the entire Elysium book before trying to portray elder characters so they can refresh themselves on the elder frame of mind. The weight of ages is heavy and this book helps to explain why.
Most of the second edition clanbooks are - well, sparsely written, to the point that there isn't much in them that you need for gaming. Some of them have interesting tidbits about clan history and others have points of amusement (like the blind bats story in Clanbook: Malkavian) but for the most part they aren't must-haves. I tend to feel that Clanbook: Giovanni is a must-have, however, and it is my favorite modern Vampire clanbook. Not only does it have history but it also has style; it gives you a real feel for the clan. I recommend this book to Vampire gamers at large, not just people who are interested in the Giovanni, because the clanbook also gives a wonderful, dark view of the World of Darkness.
Whether you're a Storyteller or player, if you want clan-specific information, a large dose of clan history, and just better clanbooks, I would suggest looking for the revised ones. They reworked all of the clanbooks (even the Giovanni clanbook, which didn't really need it) and most of them, from what I've seen, ended up better off. This isn't exactly surprising; the revised clanbooks benefitted from the years of experience White Wolf had gained since they started the old clanbooks. In alphabetical order, they are: Assamite, Brujah, Gangrel, Giovanni, Lasombra, Malkavian, Nosferatu, Ravnos, Setite, Toreador, Tremere, Tzimisce, Ventrue.
The Book of Nod has been one of my enduring favorites since I first encountered it and I highly recommend it to all Vampire gamers. It may not be that large but it is wonderfully done, with excellent artwork and writing throughout. In a nutshull, it contains myths about how the Kindred came to be; not only are these myths engaging but they also give the whole game a sense of mystery, history, and reality. Even if I were to part with my entire collection, I would keep my copy of The Book of Nod.
White Wolf later produced another book along the lines of The Book of Nod for second edition called Revelations of the Dark Mother. The figure of Lilith is spread throughout White Wolf products and it seems that each kind of supernatural creature has been linked to her in some way. Revelations of the Dark Mother is not about vampires or mages, however - it focuses on the mythological history of the Dark Mother herself as well as her standing in apocalyptic prophecy (which is also seen in The Book of Nod). The book is also more concerned about those who worship Lilith, regardless of what they are, and why they worship her. For anyone who wishes to include more about Lilith in their games, this book is a boon.
The Prince's Primer is the same size as The Book of Nod but it has quite a different purpose. Within are various thoughts on what it is like for vampires to rule over each other and parts of the mortal world. It can be useful to those who aim high and want to play princes and the like; it might also give some ideas to Storytellers. It isn't essential to the game but it can be interesting.
The Anarch Cookbook gives a great deal more detail to the Anarchs than you will find in other second edition Vampire materials. It gives the text of the Anarch Manifesto as well as some history and a lot of ideology and tactics. If the Anarchs aren't going to figure into your game then this might not be of much use but Storytellers might want to look it over just to be thorough; besides, you never know when the game will end up in Anarch territory.
Ghouls: Fatal Addiction gives a lot of definition to the servants that vampires can create relatively easily, and since many characters end up with ghouls, it is a book that Vampire gamers should probably pick up. Storytellers can use it to give more flavor to NPCs and players might like to read more about what ghouls are capable of. Some details about ghouls can be found scattered across other books but they are pretty simple and concerned with rules; Ghouls: Fatal Additiction is concerned with ghouls as characters. It also provides everything a person needs to play a ghoul or a revenant.
Hunter's Hunted attempts to give some definition to mortals who hunt vampires but it really doesn't give you much to work with. Some years later, White Wolf came out with Hunter: the Reckoning that people seemed to enjoy a great deal more. This book can easily be skipped without losing out on much of the classic World of Darkness experience.
The Inquisition book details the Inquisition from its early roots into the modern day. While this history may or may not be of interest to Vampire gamers, the book also contains a lot of Numina powers and details on True Faith that might be useful. For Storytellers who plan to use a lot of specialized mortals in their games or for those who intend to run a group of mortal player characters, this book can be useful.
White Wolf developed a good number of setting books over time. In these books, a city in the real world is transformed into a World of Darkness sort of place. The books give details about city features, the supernatural creatures, politics, plot hooks, and what have you. The idea is that if you just want to play but you don't want to do the work to define your own city, you can use one of their city books instead. As such, these books are aimed at Storytellers and players might not want to read them and kill their chances for being surprised. I've had some city books at different times but have never used one and I felt no need to keep them in my collection; you, however, might like them. If they sound appealing, why not get them? In alphabetical order, they are: Berlin by Night, Chicago by Night, D.C. by Night, Los Angeles by Night, Milwaukee by Night, Montreal by Night, and New Orleans by Night.
White Wolf produced two books that were specialized adventures: Awakening: Diablerie Mexico and Bloody Hearts: Diablerie Britain. As the titles state, these adventures provide characters with difficult but definite opportunities to commit diablerie on ancient vampires. Much of these books are devoted to detailing the traps and tricks of Methuselahs, as well as their fortified resting places. They are meant for Storytellers to read and run, and players shouldn't read them if they think they might ever play them out. Even if you don't intend to use them for game play, these books can still be fun to read. Both books were gathered together and printed in a single volume later on.
The Giovanni Chronicles I, II, and III provide a long, involved chronicle for groups with advanced players, or so it seems to me. I've heard a lot of good things about these books but have yet to see them in play. Still, they are very ambitious in scope and offer Storytellers a good opportunity. Since each book can be played as a stand-alone story, a Storyteller can just pick one that appeals to them. Book I is set in the Dark Ages, Book II in the Renaissance, and Book III takes place in the mid 1800's - take your pick, or run all three and give your players a unique experience.