Tim,
Of course, Pantone wants you to buy everything. For most of my purposes, I use the Color Bridge as the best all-in-one source. It is invaluable. As I work with metallics from time to time, I also have that swatch book. Pastels, too, although in my workflow, I can't recall the last time I used it.
I don't need to share tear-off swatches with clients or printers (they have the same fan-out books that I use). As I need other books, they can be added, as needed.
I mostly used the standard Pantone colors, and have not had need (so far) for the GOE sets. Again, you will know if you have to purchase that, and can purchase it at that time. But I wouldn't necessarily invest in GOE now.
If you are in a heavy print production environment, it may pay to get a larger set now that closest matches the kind of work that comes across your desk.
Remember to keep the Pantone swatchbooks away from light (and heat) when not in use to preserve the integrity of the colors. Even so, count on replacing the books every few years as the paper yellows and inks react to the atmosphere and light. I keep my Pantone swatchbooks in metal tins (a bit of overkill) in a closed cabinet; never on an open bookshelf or just sitting on my desk.
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Coated stock is paper with a special surface coating to keep the ink from absorbing into the paper. Ink on the paper surface remains brighter, and more intense. Printing is sharper. Finer line screens can be used for halftones. The coated paper surface is typically very smooth, ranging from dead matte to super glossy (although "drum" applied finishes can add textures for canvas, silk, stippled, and other effects. Most coated stock is white or near-white and it comes in many grades, from junk mail catalogs and many magazines on thinner, less white, less opaque, less smooth, and poorer coated grades; to fine coffee table books on some of the best sheets available.
And as long as we're talking "paper" -- understand that paper is an integral part of the process that can't be learned and appreciated and used appropriately if you don't step away from your computer. Many designers today, particularly new, computer-age designers, are clueless about color, texture, weight, grade, trim size, finish, sheet/web, etc.; which when appropriately chosen can make the difference between a so-so print job and a spectacular one. You can't design well for print without understanding paper and what it can do. Unless you just create ROP ads, don't leave the choices up to your printer, who is typically just going to spec what he currently has "on the floor".
As you will learn, paper is far more than "80# bright white coated". Get mill swatchbooks and sheet samples for mockups and specification. Learn how to work with printers, paper merchants, and mills. Do some reading. In addition to J's reference, if you buy nothing else, buy this book: "Pocket Pal" from Amazon or International Paper. <
http://www.internationalpaper.com/Paper/Paper%20Products/Poc ket%20Pal%20Home.html> It is invaluable for anyone who does any work for print.
Hope this helps!
Neil