Jeff Rients yesterday addressed a pretty good question: which version of Traveller should one get if interested in the Official Traveller Universe (but lacking any experience with it)?
His answer's a pretty good one: the Classic Traveller CD-ROM not only is a steal for $35, but should set you up nicely with a look at how the Third Imperium was originally described and handled. I think looking at the manner in which it was presented in these items is interesting as well, and gives you an idea of the galactic sandbox we were given. Making your own sectors is just too much fun to ignore, in any case.
I also have a copy of the Traveller Book, which is a wonderful compiled hardback introduction for Classic Traveller. If you can find a hard copy at Noble Knight Games or in the back shelves of your local gaming store, you'll want to go for it.
For those folks that have to have a hard copy, I would pick up the Books 0-8 and Supplements 1-13 collections. If you're happy with this Third Imperium bonanza but want an updated, more polished set of the rules, Mongoose's Traveller: Pocket Edition is the right size and prize, and can usually be found on the cheap.
EDIT: I see Rob Conley has also weighed in with his recommendations. Good stuff!