Like j.d., I'd recommend
The Humanoids, the Legion of Space trilogy, and
Darker Than You Think as his big three. In terms of short fiction, Haffner is bringing out his complete works if buying multiple volumes at 50 bucks a pop floats your boat but you could probably find
The Best of Jack Williamson in a used shop or, certainly, buy it online. It has an overview of 1928-54 and tacks on a '69 and '76 story - but this is a guy who kept writing and went on to win a Hugo in 2000 - he just doesn't have a decent (quantity/price) collection since that 1978 collection. While I respect and like Williamson, he doesn't always light me up like some of my very favorite writers but, despite just barely fitting into the 30s, 1939's "Nonstop to Mars" was a quintessential 30s-style blast. There's also
The Early Williamson in my Pile which I'll read someday - it has 11 stories exclusively from 1928-33 with two overlaps from the
TBO. There's also
The Legion of Time (which has nothing to do with the Legion of Space) which, in one form, is a collection of two unrelated novellas usually billed as novels. That gets a mixed review from me but definitely has interesting aspects.
Brother to Demons, Brother to Gods was a fixup of 70s stories which I didn't really like. Unless I'm forgetting something, I think that's about all I know about his collections.
If you're getting into the 30s space opera and since you don't seem to mind ebooks, don't miss trying Campbell's Arcot, Morey and Wade series of
The Black Star Passes, Islands of Space, and Invaders from the Infinite (though I didn't really like the last one). Gutenberg also has
The Ultimate Weapon (a space opera novella published
dos a dos or even singly) and another story. FWIW, I blather about the series
here and mention
The Ultimate Weapon here.