Shadow of the Demon Lord, core book; also to refer to the system and the setting. Sometimes written as Core to leave SotDL as a term for the setting or system.
Victims of the Demon Lord: Starter Guide, a PWYW (free) quick-start, with a smaller subset from the core book thank the Player’s Guide. With the exception of spell lists, everything you need to play. No reason not to get it. Go get it. Now!
DLC
Demon Lord’s Companion, (no, not the things that complete computer games, but the thing that completes SodDL). SotDL (the core book, I mean) was pretty big and Rob Schwalb, the author to extract some part of it to not make it a humongous core book. I consider it for most intents and purposes part of the core too.