The "Basic Set" and "Advanced Missions" will get you all of the core rules and SSDs.
Next the "C" modules. C2, C3, etc... They get you the rest of the predominent races. Most of which aren't in SFC though. It's best to get them in order. If you skip over any you'll miss some of the basic rules for the races.
The "R" modules will get you most of the variant ship SSDs. R1 is probably the least important as it gets you bases and auxiliary ship SSDs that you can simulate from Advanced Missions. (Hard to explain, but if you get Advanced Missions and look at R1 you'll see what I mean.) These you can get out of order as they don't add rules, just ships.
The "J" and "K" modules get you the fighter/PF rules and additional carriers/tenders. While fighters and PFs are in SFC, most of the "rules" for them are not, unfortunately. It's worth having though if you want to see how they are really supposed to work (and why they really don't).