Winds of Magic is a definite. You'll need the corruption/mutation rules from that.
Beyond that, it's really a question of what kinds of characters your players want to play. If you have enough money, I'd suggest buying the whole ruinous power series (winds of magic, signs of faith, omens of war, lure of power)--they really flesh out the character options, and magic, religion, war, and intrigue are all major themes in TEW.
Of the remaining supplements:
Black Fire Pass really expands on the options available for dwarf characters, but doesn't offer much beyond that to a TEW game. If you have players who want to play runesmiths or dwarven engineers, or are playing trollslayers or ironbreakers, it's not a priority.
Likewise, Hero's call has rules for Halflings, Ogres. If your players want to play these races, it's a buy, but otherwise hold off until they're approaching rank 4.
Witch's Song is primarily an adventure, but it has rules for witches, which might come up depending on what decisions you make about the Black Cowl. Or, of course, if PC takes up witchcraft.
That's about it. Everything else is adventures that don't have anything to add or GM support that's more helpful when you're running your own adventures.