The complete collection is the way to go; trying to track down all ten of the books individually is an exercise in frustration and can also end up being a little costly.
And indeed, the series goes careening off the rails at the end. I rather like how David Langford put it into context here (warning, spoilers ahoy). If you're interested, you should definitely check out the short stories in Manna from Heaven, which suggest that Zelazny might have been able to get out of the corner he'd written himself in.
I think in the end Lord of Light is much better reading. Also, "Ghostwheel" is tragically underrepresented when it comes to naming servers and software daemons and such forth.
By the way, has anyone here read Betancourt's "Dawn of Amber" prequel series?