HeroQuest Materials.
Core System Books
Heroquest - the rule book - required.
Hero's Book - players book - not required.
Anaxial's Roster - monster book, published under the HWs rules and with some questionable values for some creatures, requiring some adjustments. It is still a useful book however as it gives details of some of the unique Gloranthan creatures.
Player Books
Thunder Rebels - required - being a Orlanthi barbarian, Orlanth the God and Ernalda cults. Published under the HW rules and nor requires some adjusting. Some of the material in this book is now duplicated in the main rule book (and superceded), but still has a lot of cultural information essential to the setting.
Storm Tribe - required - the cults of Sartar, expanding the Orlanthi pantheon.
Imperial Lunar Handbook (Vol1) - required to play a Lunar (so who needs it, scum!) - an excellent book detailing a large portion of the Lunar Empire and its people and cults.
Master of Luck and Death - I havent got this yet and not sure it is a required book. Details of Hero Bands, examples etc.
Scenario Books
Barbarian Adventures (Part1)
Orlanth is Dead! (Part2)
Gathering Thunder (Part3).
These are a mutli-part story line published by Issaries involving the Orlanthi rebellion and eventual overthrow of the Lunar invaders. Players get to play Orlanthi and participate in various parts of the rebellion. They consist of the core story line and several mini-adventures. They also give further insight into the Orlanthi culture and way of life. Worth getting.
Retail sources.
Issaries sell all their materials via Steve Jackson's Warehouse 23 site: Link to Warehouse 23.
Another point of sale for RQ/HW/HQ materials is: Unspoken Word. They sell several original source books, as well as some very impressive maps.
Tradetalk publish a monthly (roughly) magazine about Glorantha, great value. They also have an online store that sells most of the materials mentioned here. I have ordered lots of stuff from them and find them very reliable.
Source Materials and Third Party Products.
Pavis and Big Rubble - reprint of the classic RQ adventures "Pavis", and "Big Rubble". Required reading for any Praxian based campaign. Excellent.
Griffin Mountain - reprint of the classic RQ adventure of the same name. The land of Balazar (north of Prax) is fully laid out for you. A different barbarian culture with ties to both Prax and Dragon Pass. I have twice used this book as the starting point for characters and then moved them to Prax. Really good value.
Borderlands and Beyond - reprint of the classic RQ books "Borderlands", "Plunder" and "Runemasters". Borderlands was an excellent introduction book to Prax, along with a series of linked adventures for your players. Plunder and Runemasters were good resource books.
Cult Compendium - reprint of the classic (everything RQ is classic, it was simply the outstanding RPG of its time!) "Cults of Prax" and "Cults of Terror" books, with the addition of several other cults from other published sources. Although this is RQ it still has lots of historical information about the various gods that is useful in fleshing out your understanding of Glorantha - worth getting.
Pavis and Big Rubble Companions Fanzine - Ian Thomson's Pavis Page - five books detailing Pavis and Prax. These are probably the best money you will ever spend if you want to run a campaign around Pavis, either as RQ or as HQ. Truly excellent material.