There all great books, and they all feature actual GMAT questions. Perhaps starting with the area where you are weakest is a good idea, since it will give you more time to prep in that area.

There should be no overlap of questions.

mlane25269 wrote:I have all three books myself and I can tell you that they are all very good resources. I find the PS in the Orange book to be a lot more challenging than the purple quantitative book. I bought all three books though because I felt like I needed additional practice.

agreed: the DIFFICULTY RANGE is much greater in the yellow o.g. than in either of the supplements, especially on quantitative questions. ironically, there are more quant questions in the yellow book than in the quant supplement! (...and the same for verbal questions in the yellow book vs. the verbal supplement)
therefore, if you want the whole spectrum of difficulty, then you should go with the yellow book first.
if you want easy portability and have to run up a bunch of stairs with the book in your backpack, then go with the supplemental books, as they are much more compact.

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by the way, the quant supplement is green, at least here in the u.s.; the purple book is the verbal one.