First time running Council of Thieves

[Mageye]

Wondering what supplements would be of benefit to run this adventure path.

I have

Pathfinder Core Rulebook
Pathfinder Bestiary
Pathfinder Gamemastery Guide
Pathfinder Advanced Player's Guide (not sure if this would work with this AP)
Council of Thieves Map folio
Council of Thieves Player's Guide
and the 6 parts of the adventure path

[Sharoth]

I would also suggest Cheliax - Empire of Devils.

[Loki_Thief]

I second the Cheliax book, and you might consider Princes of Darkness (the book of Hell) as well. Seekers of Secrets (the Pathfinder Society book) could be useful for the third adventure as well, if you're looking to burn some extra cash.

Regarding the Advanced Players Guide, there's no reason it can't work with the CoT. In fact, a couple of the NPCs are crying out to be restatted with some of the new classes:

NPC spoilers:

Mantrithor Thraxx, the Devildrome champion from book three, is an obvious candidate for the Summoner class (though you might bump him down a level if you do this, as this boosts him significantly given the circumstances of the fight). Also, the Mother of Flies from the fifth book could easily become a Witch (though restatting her may be unnecessary, unless your PCs are likely to pick a fight with her). Finally, Whitechin the Goblin king, from the sidequest in the first book, requires you to stat him out yourself anyway, so if you have an urge to use one of the new classes, knock yourself out. I'm personally leaning towards making him a Cavalier in my game, but any of the APG classes could be fun.

I also like teamwork feats, as they can make fights with multiple lower-level opponents (which occur fairly regularly in the CoT) a little more threatening to the players. Really, though, none of the options in the APG is likely to break CoT-- go ahead and cut loose with it.

[Deidre Tiriel]

I also highly suggest the Cheliax book.

If one of your players picks the Pathfinder campaign trait, then you should probably get Seeker of Secrets. Otherwise, only if one of them gets particularly interested in that aspect when Ailyn shows up.

The Lords of Darkness is pretty cool. If you have a devil-loving/binding pc, then you really should get it. It's also good for knowledgable PCs with bardic knowledge or who do lots of research in game. It can also help you to flesh out some npcs.