Welcome, sinb!
Lots of opinions on "best", and it all comes down to personal preference, and what you intend to do. Buying a book that centers on the Fae, or Demons, or France won't do you much good if your Saga (that you run, or that you are in) isn't going to revolve around those.
That said, tho' all the books seem well written for what they cover, but there are some that are of "general interest", that is, that lay down a groundwork that almost anything else can be built from. (And others will chime in here, I'm sure, if only to tell me I'm wrong!)
"Covenants" expands on the rules in the book, and on labwork and texts, and so can be useful for any saga and most any mage. A Covenant is, to many, the most important character in the story. Magi come, magi go, but the Covenant continues...
The "Houses of Hermes" books (3 of them) are nifty, in that they expand on the houses, and give you a sense of the politics and differences between them. More Virtues and Flaws, more options - more is good. Choose the one(s) that cover the Houses you're interested in, can't go wrong.
"Mysteries" gives characters both an IC secret society to belong to, and IC goals to pursue beside inventing spells, and a way to add "virtues" after CharGen. (So, it can be either very rich, or very abused, depending on the StoryGuide.)
"Ancient Magic" - The premise of the Hermetic Order is that it organized many views of magic into one concept. This book suggests some of those other, older approaches, and how to integrate them into your saga/magi. Nice, some rich storylines. More "saga level" than individual mage, more of a StoryGuide book. (& see next comment below)
"Domains", Area Specific, "Cities", "Arts" - as I touched on above, these are indispensable IF that's what your mage/saga are all about.
(But the key is to get your buddies to pick up a book or two!)
And, yes, other "worlds" have been tried, and those folk may well speak up here. But one of the huge attractions to AM is the fact that it is NOT in a "fantasy world", but one where all the Players already have a feel for the same world, and more or less understand the society and the repercussions of actions. "Mythic Europe" is a common, familiar ground that no amount of Game Master description could rival.
But another huge attraction is the power of the system, and its adaptability - so, if you're excited about it, do it! Let us know how it goes!