(copied mainly from the ACNW webpage)
There are two rule books available, costing about $20 each. The first is called Amber DRPG and is the main rulebook. The second is called Shadow Knight and contains additional, supplementary rules.
You should also possess the books which started it all, although I suppose this isn't absolutely essential. They come in two series of five books each.
The Corwin Chronicles:
The Merlin Chronicles:
There are also a few short stories, which hint at new material. Since Zelazny died in 1995, we're never going to know how these ideas would have turned out. The following is a (hopefully) complete list, together with where they have been published.
There are no commercially available Amber modules, so your GM will have to write their own. This requires a GM with a very good knowledge of the books, or they're in danger of offending players who expect the tone and content of the game to follow the books fairly well.
There may well be more supplements in the pipeline, including perhaps some alternative approaches to the Magic system. Don't hold your breath though.
The Amber Diceless Role-Playing game can be played in many different formats. At Ambercon you might find fully-costumed Live Action games, standard "table-top" games, or anything in-between.