The only book you need is The Esoterrorists.
If you read another, I'd suggest The Book of Unremitting Horror. It has some superb monsters in it: you can choose almost any one and have a ready-made scenario. It's worth reading the Book of Unremitting Horror just for the tone of it: it'll add a particularly nasty undercurrent to your game.
You could also read The Esoterror Fact Book, which has some extra background. For me, the most useful stuff is the crunchier combat stuff. You can do sniper shots to the head, for example. It works well.
Pregens: The advantage to pregens is that Esoterrorists characters can be fairly sparse. By doing pregens, you can give them some backstory. On the other hand, character generation is so quick that you might as well let the players make their own characters. You can do it within twenty minutes.
Advice while running: Don't forget the Veil Out. Whatever the PCs do, they should cover up as they go along. For example, after a gunfight, they might start rumours that someone let off fireworks. This adds another layer to the play.
Prewritten scenarios: I hear Six Packed and Profane Miracles are good, but I don't really know. However, if you get the Book of Unremitting Horror, you'll find that a scenario readily constructs itself around any monster.