I'm actually running a game of Exalted right now, so I can give some advice.
1) Download the Errata. There is quite a bit, and it is available for free
here.
1b) Also, if you have pdfs of the books, take a look at
this. It is a set of pdf comment files, which directly integrates the errata into the books, vastly reducing the cross-referencing involved.
2) Read, then play through
this. It is a semi-interactive tutorial that explains the basics of the setting, and walks you through how combat works.
3) Use
this program to generate characters, and to keep track of xp, equipment, and the like. Once you've finished generating a character, it can print out a pdf of a filled out character sheet. I once used it to create a character with 500 xp, in about a half hour, from concept to completion. It would have taken hours without this. I can't do NPCs without this program.
Ok, now that that is out of the way, on to stuff to read.
First off, I recommend getting a copy of the 1e book Scavenger Sons. Its a setting book, and does a much better job communicating the desired feel of Creation than nearly every 2e book. You can buy the pdf
here for just under $10.
Second, buy Masters of Jade. (Available
here) It is the newest Exalted book (until Shards of the Exalted Dream comes out later this month.), and is another excellent setting book, describing Creation in extremely evocative ways, through the lens of the Guild, a mercantile organization which can be summed up as fusing Wal-Mart with the Dutch East India Company, and removing all thought and possibility of government oversight. It also contains a system for running and interacting with large organizations, which comes in very handy once the PCs have managed to acquire a city or kingdom somehow. (This will almost certainly happen (assuming the PCs are Solars), as Exalted is explicitly a game of consequences, which continues on once the day has been saved. The hero gets the princess, and in a few short years (for a being whose natural lifespan is measured in millennia), he's in charge, and it is time to see how good a dragonslayer is as a king. Or not, if that's not what the players are interested in.) MoJ
Another good thing do look at when getting started is Return to the Tomb of Five Corners, which was written as an intro adventure module, and is available for free
here. I believe it has per-generated characters, which, while not up to date with the current errata, can do a decent job of getting players something of a fell for the game. (I'd also recommend reading through
this thread, for advice on running dungeons in Exalted.)
Once you've decided what the setting for the game you want to run is, get the relevant Directional Compass. The 2e Core and Scavenger Sons should give you a decent feel for each Direction, but in short, if you want mayfly kingdoms amidst forests and grasslands, dotted with (more than normal amounts) of ruins of a previous Age, you want the East. If you want (stereotypical) barbarians, hard lives, bitterly cold winters, airships, and floating rock-islands, you likely want the North. If you want pirates, adventure on the high seas, and all that comes with it, odds are you should look at the West. If you want deserts, nomads, astrologer cities, and volcanoes, the South is where you should look. The Center, the Blessed Isle, is somewhat hostile if you are any Exalt save a Dragon-Blooded, but if you are interested in playing out dynastic battles in a fusion of Rome and Imperial Japan, look here. There is also the Heavenly City, Yu-Shan, which can be used for noir type games without much difficulty, as well as espionage type stuff. There's the Underworld, which is Creation's dark mirror, and is the realm of the dead (only a few of the inhabitants actually want to destroy the world of the living. The ghosts with ancestor-cults worshiping them want that to continue, for example.) There is also the Hell that is Malfeas, the prison containing, and most powerful of, the demons. Then there's the Wyld, which is a realm of gradually increasing chaos that serves as Creation's outer border. Each of the Compass books has a section at the end that briefly describes the animals native to that region. (And the Directions are BIG. You could jam Medieval France into the middle of the East, and no one would notice.)
A bit of advice. Don't use the canon Sorcery system, it doesn't live up to the fluff, and is not worth the xp it costs as is. Errata is in the works, but that will come when it comes. In the meantime, I suggest using
this fan-rewrite, and the companion
Necromancy rewrite. Also, the books titled Scroll of the Monk and Scroll of Heroes are mechanically broken to the point of ridiculousness. Pretend they don't exist. Scroll of the Monk: The Imperfect Lotus is ok, and a replacement book for the first SotM is coming out this fall, so...
Also, the setting portion of the Lunars book got co-opted to tell the history of Creation, so you'll want to read through that, even if you don't use Lunars. I also suggest getting the Manual of Exalted Power for any type of Exalt you intent to use, NPC or PC, as the brief stuff in the Core's Antagonist chapter doesn't really cut it.
The closest thing Exalted has to a Monster Manual is the 1e book Creatures of the Wyld. It has all the animals listed in the various Compass books, except with far greater detail (two pages vs. two paragraphs in most cases). You can get it
here.
That should... probably be enough to get you started.
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Stand between the Silver Crystal and the Golden Sea.
"Youngsters these days just have no appreciation for the magnificence of the legendary cucumber." --Krityan Elder, Tales of Vesperia.
