There's a place that lists all the books and stories it covers.  It's near the front - next to "what is a roleplaying game".  It ends with Small Favors.

Note: Our World has massive spoilers for everything listed there.  If you haven't read all the short stories listed then track them down and read them before you go through Our World or you'll how most of those stories end.

Richard

Nah, won't be a problem. My players and I have read everything that Jim has fed our eager minds. Well technically I'm still finishing Side Jobs, but you get the drift. 

...saying hello.

(okay, really sitting and typing, but let's not get stuck on semantics)

Read the books, planning to run the game. Planning to introduce some incarnation of Set Abominae (from the Iced Earth concept albums if you're not familiar) as a major antagonist. Speaking of which, that band's album "Horror Show" is a good listen; it being a concept album for things that go nom nom nom in the night.

So, that's all I have to say about that (for now).

Cheers!