They have their highs and lows, but mostly they are fantastic. They were a top pick of children all over the United States between 1900 and perhaps 1960ish (possibly the Harry Potter stories of their time period).
I've read pretty many of the official ones. Half.com (now just eBay) and alibris.com and eBay are wonderful things. Also some libraries have them, or a few at least.
It's best to go in order as much as you can, but if you have trouble with that use the Oz Wiki to fill in the gaps.
My favorites include: The Marvelous Land of Oz, Ozma of Oz, The Emerald City of Oz, The Patchwork Girl of Oz, Tik-tok of Oz, The Scarecrow of Oz, The Lost Princess of Oz, The Magic of Oz, Glinda of Oz, Kabumpo In Oz, Grampa in Oz, The Lost King of Oz, The Hungry Tiger of Oz, The Gnome King of Oz, The Giant Horse of Oz, Jack Pumpkinhead of Oz, Pirates in Oz, The Purple Prince of Oz, The Runaway in Oz, and The Shaggy Man of Oz. I know, I have a lot of favorites when it comes to Oz.
There are also many unofficial books written by fans and professional writers alike. Check out The State of Oz, The Blue Emperor of Oz, Paradox in Oz, and The Rundelstone of Oz.
There are so many good ones. I envy you. You're starting an awesome journey!
I'm going to toot my own horn just a little bit here and recommend The Hidden History of Oz series. Several reviews mention how faithful the first book (The Orphan Sorceress of Oz) is to the spirit of Baum's Oz. https://www.amazon.com/dp/B09242ZPXJ
I used The Wonderful Wizard of Oz novel as the guiding star and the clearest vision of Oz. All of my published works in Oz are meant to lay the foundation for Baum's books. The first takes place in 1852, where a teenage Glinda rebels against her parents, which sets of a chain of events that has her running for her life from the wicked witches. Along the way she meets a dreamer from another world whose dreams change the land around him (that's why they call him the Wizard). Together they fight for freedom and establish the Emerald City. Other books continue the story through the years leading up to the arrival of Dorothy, which changed everything. There are a lot of different imaginings of Oz. I tried to keep The Hidden History of Oz series spurring that would be appropriate for ten year olds to read, but deep enough that adults can enjoy the story, the Easter eggs, and the respect paid to the original vision of L. Frank Baum.
In a similar vein, "Oz Reimagined: New Tales from the Emerald City" is an anthology collection of a bunch of modern fantasy authors giving their spin on the mythos as well.
I have enough other Oz stuff to read, I'd never get anything done if I were also on Archive of Our Own! I'm pretty sure the story was in Oz Reimagined, an anthology you can find at https://www.amazon.com/Oz-Reimagined-Tales-Emerald-Beyond/dp/1611099048/. (Don't ask me which story, it's been a long time since I've read it.) That's not to say that the editors of that book didn't first find the story on AOOO, however.
Oz Reimagined is a good anthology of Oz short stories by some prominent fiction authors.
But the Legends of Oz comic book series is by far one of the most intriguing and appropriate takes on the Oz mythos I've seen, combining it with western film tropes and archetypes while also finding interesting ways to incorporate elements from the books into the frontier landscape. I highly recommend it.
I noticed the DVD was actually an American edition, so I took a look, and sure enough, it's also available in the States! https://www.amazon.com/Alice-Through-Looking-Glass-Brenda/dp/B00B1LM758/ Thank you for both links!
Edit(26 Dec 2016): Last place me and my friend read
We haven't yet started reading the first chapter, but we read everything before like author's note and some metainfo :)
The flag of Oz graces the cover of the 2018 novel The State of Oz. It is based on Baum's original description from The Road to Oz. The colors of Munchkinland and Winkie Country are reversed (making for confusion). That is how Baum described it, though. Blue on the left and yellow on the right.The State of Oz