The current 4th Ed. offerings are somewhat divided into three parts: The starter set (Red Box), the Essentials series of books, and the "normal" -for want of a better term- tier of books. I haven't covered other settings than "Points of Light". I owe a lot to dnd4.com, so thanks. If you want release dates for most of the books listed, check there. More info about Essentials can be found at the appropriate wotc page.
- The Red Box starter set is oriented at new players, teaches them the basics, and then, AFAIK, leaves them there, possibly hoping they'll buy more products.
- The Essentials series is an update of the "normal" books in a more readable format, and including all the updates issued since the publication of the first books in the 4th Ed.
- The "normal" series covers everything else: core books, supplements, and adventure modules. The Essentials series and the "normal" series are mostly compatible, you can play campaigns of one series with players from the other, and vice-versa. It appears that the Essentials line is mostly complete, with the possible exception of "Heroes of Sword and Spell", to be published sometime in 2011, and that the upcoming books will feature cover art following the normal series, and not the "Essentials white" cover style.
- Supplements are just that: books that build upon the core and expand on a subject. You don't need them to start playing, but they help DMs who want something more after playing through the starting books.
The Red Box
The Red Box is a starter set, part of the Essentials lineup, designed to get people to start playing DnD 4E with a minimum of fuss. it includes the basic stuff to get things going: Player’s and Dungeon Master’s Booklets, a solo startup encounter, the "Twisted Halls" module, counters, dice, a foldup battlemap, simplified character sheets and power cards. The complaints I've read is that, while great for starting, it is also very limited, and once you want more it quickly gets obsoleted.
- Dungeon Master's Guide (DMG): this manual and contains the basic ruleset a DM should know when setting up a DnD campaign.
- Dungeon Master's Kit: this Essentials rulebook is an equivalent to the DMG, updated with the latest (as of 2010) updates. Includes the Dungeon Master's Book, three pages of tokens, and the "Reavers of Harkenwold" two-part standalone module with printed maps.
- Player's Handbook (PHB): this rulebook covers every rule a player needs to know to play a campaign.
- Class Compendium: Heroes of the Fallen Lands: new builds for the most iconic classes: the cleric, the fighter, the rogue, and the wizard. Also presents expanded information and racial traits for some of the game’s most popular races, including dwarves, eladrin, elves, halflings, and humans. Even though this is an Essentials supplement, I include it here, for it seems to me like the equivalent to the PHB.
- Rules Compendium: This Essentials rulebook contains the rules of the game collected in one place, taking a campaign from 1st to 30th level.
- Monster Manual (MM): this rulebook is a list of the available monsters the DM can use in campaigns, with their stats and tips for setting up encounters.
- Monster Vault: this Essentials rulebook is an equivalent to the MM, but with all the errata corrected, rules updated, and it includes ten sheets of tokens and the "Cairn of the Winter King" standalone module, with battle maps.
- The DM Screen: a 4-page folded cheatsheet, a really useful item for the DM.
- Roleplaying Game Starter Set: This set is not the red box. It includes an introductory version of the 4th Edition rules, dice, map tiles, and an adventure for starting characters.
- Class Compendium: Heroes of the Forgotten Kingdoms: An Essentials series supplement including new builds for the game’s most popular classes: the druid, the paladin, the ranger, and the warlock. In addition it presents expanded information and racial traits for the dragonborn, drow, half-elf, half-orc, and tiefling races.
- Dungeon Master's Guide 2: this supplement gives advice and rules for campaigns, focusing on paragon tier campaigns especially.
- Player's Handbook 2: adds more builds and also the primal power source and the classes that use it: druid and barbarian
- Player's Handbook 3: adds even more builds. Also adds the psionic power source and classes that use it.
- Player's Option: Heroes of Shadow: focuses on characters that fight evil in ways that make others cringe. In addition to exploring the nature of the shadow power source, this book presents races, classes, feats, powers, and other options aimed at players hungry to play the archetypal antihero with a dark edge. TBP April 2011
- Player’s Handbook Races: Dragonborn: this supplement expands on the history and capabilities of the dragonborn race.
- Player’s Handbook Races: Tieflings: expands on the tiefling race, includes feats, powers, paragon paths, epic destinies and more.
- Martial Power: builds for fighters, rangers, rogues, and warlords
- Martial Power 2: builds for fighters, rangers, rogues, and warlords
- Arcane Power: provides new builds for the wizard, warlock, sorcerer, bard, and swordmage classes
- Primal Power: builds for barbarians, druids, shamans, and wardens
- Divine Power: builds for the cleric, paladin, invoker, and avenger classes, with tips on how to roleplay and perform better as a wielder of this power source.
- Psionic Power: focuses on heroes who channel the power of the mind. It provides new builds for the ardent, battlemind, monk, and psion classes, including new character powers, feats, paragon paths, and epic destinies.
- Monster Manual 2: more monsters
- Monster Manual 3: more monsters, a correction of the rules for older monsters(?)
- Player’s Strategy Guide: tips and tricks for improving your tactics, strategies and being an overall better player.
- Adventurer’s Vault: nearly a thousand magic items, weapons, tools, and other useful items.
- Adventurer’s Vault 2: hundreds of magic items, including legendary weapons and artifacts.
- Demonomicon: all you need to know on demons and their masters, the demon lords, to set up campaigns against them.
- Draconomicon 1: Chromatic Dragons: describes several varieties of dragons, including red, blue, green, black, and white dragons, as well as three new chromatic dragons.
- Draconomicon 2: Metallic Dragons: describes several varieties of dragons, including gold, silver, copper, iron, and adamantine dragons.
- Open Grave: Secrets of the Undead: explores the origins, tactics, myths, and lairs of undead creatures.
- Underdark: all you need to set campaigns in this realm: monsters, settings, hazards...
- Hammerfast: presents a fully detailed, ready-to-use dwarven town with all you need to set campaigns in a new location.
- Manual of the Planes: an overview of the new array of planes introduced by the 4th Ed.
- The Plane Above. Secrets of the Astral Sea: builds on the overview of the Astral Sea presented in the Manual of the Planes game supplement and explores the heavenly plane in greater detail.
- The Plane Below: Secrets of the Elemental Chaos: builds on the overview of the Elemental Chaos presented in the Manual of the Planes game supplement.
- Vor Rukoth: a fully detailed, ready-to-use fortress ruin to set campaigns in.
- Dungeon Delve: when you want to run quick mini-dungeons, the "delves" provided will enable you to patch up a series of encounters.
- Dungeon Tiles Master Sets. Part of the Essentials series, these are three master sets of Dungeon Tiles (The Dungeon, The City, and The Wilderness) that let you create encounter areas for any adventure.
H, P, E stand for Heroic, Paragon, Epic, the three experience tiers of DnD 4E. S stands for Standalone. So HS1 would be Standalone Module 1 in the Heroic Tier.
- HS1 The Slaying Stone: a standalone adventure for Level 1 players set in the Nentir Vale.
- HS2 Orcs of Stonefang Pass: a standalone adventure for level 4 characters, pitches the heroes against orcish hordes that threaten to isolate Winterhaven.
- HS1 Reavers of Harkenwold: an adventure for level 2 players, included inside the Essentials Dungeon Master's kit.
- Cairn of the Winter King: a standalone adventure for level 4 characters, included inside the Essentials Monster Vault boxed set.
- Revenge of the Giants: a standalone "super-adventure" for paragon tier characters.
- Tomb of Horrors: a remake of the classic module, designed for characters of 10th–22nd level. You should know what Tomb of Horrors is about.
- H1 Keep on the Shadowfell: an adventure for Level 1 players, takes them from level 1 to 3 investigating the surroundings of Winterhaven and the titular crypt in the Nentir Vale. Part of a campaign. Freely downloadable (sans maps) from wotc.
- H2 Thunderspire Labyrinth: the followup to H1, this adventure takes Level 4 adventurers to Level 6.
- H3 Pyramid of Shadows: a D&D adventure designed for heroic-tier characters of levels 7-10, this adventure completes the Heroic tier of campaigns.
- P1 King of the Trollhaunt Warrens: paragon tier adventure that gets characters from 11th to 13th level.
- P2 Demon Queen’s Enclave: characters here start on level 14 and advance to level 16.
- P3 Assault on Nightwyrm Fortress: designed to take characters from 17th to 20th level.
- E1 Death's Reach: Epic tier adventure designed to advance players from the 21st to 23rd level, has players tracking terrible wrongs in the Shadowfell.
- E2 Kingdom of the Ghouls: designed to take characters from 24th to 26th level, this adventure describes a terrible plot to usurp the Raven Queen's powers over death.
- E3 Prince of Undeath: the epic adventure comes to a close against Orcus, who is trying to usurp the Raven Queen's throne. This module takes adventurers from 27th to 30th level.
Missing from this answer, that I know of, are
- Most dungeon tiles sets: these are booklets with ready-made maps and tiles that you can use to set encounters in.
- Books from the Forgotten Realms, Eberron, Dark Sun and other settings.
- Compendiums from Dungeon Magazine or Dragon Magazine, these pack the yearly issues from the magazines mentioned.