If you ever wondered what you'd need, in what order, to get into GURPS Dungeon Fantasy, the line editor lays it out right here.
Lots of books, yes (16 counting the monster book, 17 with the adventure), plus the Basic Set and Magic, but lots of the supplements are inexpensive. If you bought the lot it would only be $138.83 for all of them. And as Sean Punch points out, you don't need all of them. Or even really half of them.