Hey all the responses you've been given are great advice and this topic always comes up every now and then on this forum. You definitely want to start out small and work your way up to everything. Or maybe not! If you got the cash to drop, sure why not? Get everything and throw it all in. I like to think that I'm somewhat of an expert in playing with everything. I ran this as an event at a gaming con (Strategicon) and my players and I playtested a few different variations in playing with every expansion set. Ultimately this is what I did.
When I mixed all the different sets together, I didn't just shuffle them all together. I randomly chose a card from each expansion and built one whole deck. E.G. when building an encounters deck, I'd start with the basic set and grab 1 card. Then I'd grab 1 card from Dunwich, then 1 card from Yellow King, 1 card from Dark Pharoah, etc.. I'd do this until my entire deck was built. In the cases where maybe the original has a larger mythos deck than everything else combined, I'd grab 2 from from this pile and continue my clockwork system. Does this make sense? This way come play time there was an excellent chance I'd draw from every different expansion. Kinda a rainbow effect. Now on top of this, I used the optional rule with the mythos deck where I'd draw 2 cards and choose 1 of the two. This also helped guarantee that you'll draw cards from the other expansions. I only used this rule with the mythos deck though and no other deck. I found we didn't need to cycle through any other deck as badly. The mythos cards determine which board gates open up to. Someone else already wrote that you could also just keep drawing until you draw a card appropriate to the expansion you want. This would definitely work out also.
Now, I got it that after one playing of this, you'd have reshuffle everything back in and things won't be so homogeneous. But at this point the deck is so huge you could actually put the cards you played aside and for the next game work on the rest of the deck. This is actually what I did and I would shuffle the previous game's cards that we had used independently and add that to the bottom of the deck. Understand when playing with every expansion it's a really huge deck. And of course in theory after every game you could separate and repeat the above process but that'd be a bit painful. So this is one approach though not necessarily the best one (if there is a best one). Now this technique works with just a few expansions also, obviously you don't need to own every single one to do this. You could use your judgement as to when you'd reshuffle the entire deck or just the ones you used for a game. I'd base that on the size of the deck you were working with.
Someone added a link further above on the % of what you draw for the different expansions. This link is actually an excellent link, well for a nerd crunching number like me. And somewhere on these forums someone else adjusted those %s with the Miskatonic expansion as it raises those %s. You can definitely use the link as a base for what you want to add in and what to expect when you combine some of those expansion sets.
Someone else wrote about keeping the theme. Yeah this can be kinda important or not, depending on your group. I personally love the Yellow King and find it one the harshest expansions and love just playing with this expansion and none other. Especially if you play it as a visiting play then there's a great chance you'll get hammered by the expansion set. This really gets lost when you shuffle it all in with everything else. On this note, this is a huge pro for why you want to start small and work your way up. This way you'll get a really good feel for each expansion set so by the time you own everything, you'll know which expansion you want to throw in and/or focus on. Or you may not feel so strongly about the themes and just throw it all in and watch the melting pot.
Just a few other thing. Lurker IMHO is the worst expansion. The herald is broken and really needs to be fixed. Really unfortunate that no official errata (or has it?) has ever fixed him (or it?). If you do get Lurker, just search the forum for advice on how other people address the issues with the herald.
Finally, I almost recommend you get the Miskatonic expansion last. It's actually a great expansion but what it does is it works off of every other expansion so not so useful unless you have all the others. There is one exception to this rule IMO. If you have all 3 of the big expansions, then I recommend you get Miskatonic. Why? Again, that link above on %s. Miskatonic really does its best to address how you could play a game with those expansions and finish the game without ever visiting any of those other boards. I actually wrote a more indepth review on Amazon you can check out. Same handle.
All the other expansions you could get in whatever order that interests you. I'm pretty sure I got them out of order with Dunwich last. And you're lucky because the revision of the Dark Pharoah is IMO every way superior to the old one. So you won't waste money like us old timers and spend money on both. And wow, I really love the Dark Pharoah herald. With the right combination of an Ancient One and the wrong character, you could actually start the game at the Asylum because you went insane during setup! Outstanding. Cthulhu wins again.
So I guess in conclusion, like someone else already wrote, there's a few different ways to approach this and you should try them all and see which one fits best your group and style of play. And hey, I hear you about separating the decks. Me too, this mundane activity is actually fun for me also.