In between you have a huge swath of books that are sort-of canon, and since all of the early books are in public domain, you have every conceivable variety of continuation story and alternative Oz vision possible. Many of Baum's children and grandchildren have written Oz books, and almost none of them feel any need to stick close to Baum's own vision.
For my part I set out originally to collect as many "original" Oz books as I could, and that's proven difficult -- both to decided which are "original" Oz books and to find some of them. The latter Oz books and some of those that followed were only published once and not kept in print, so there may be no chance to own all of them without spending a lot more than I would like on a few.
The "canonical 40" are easy to define -- the first book, and the 39 that were subsequently published by Reilly & Lee. These include 19 books by Ruth Plumly Thompson, 3 by John R. Neill, 2 by Jack Snow, and 1 each by Rachel Cosgrove and by Eloise Jarvis McGraw and her daughter Lauren Lynn (McGraw) Wagner.
There are 3 books written by Sherwood Smith that are officially recognized by the Baum Trust as canon. The third of these was self-published on Lulu.
There are books that were published by the International Wizard of Oz Club, and some of these are from canonical authors so these can be considered deutero-canonical. There are 2 books by Ruth Plumly Thompson, 1 by Eloise jarvis McGraw and Lauren McGraw-Wagner, and 1 by Rachel Cosgrove. There is also 1 book by Dick Martin and 2 by Gina Wickwar that the club published; those would not be considered canon, but given their publication by the International Wizard of Oz Club, I include them in a subsequent list of important non-canonical books.
Hungry Tiger Press has published several books. They published 1 book by Eloise Jarvis McGraw, which would be deutero-canonical, and several books that are not canonical but adhere very closely to Baum's original vision: 2 by Edward Einhorn, 2 by Eric Shanower (and five graphic novel stories by him).
Eric Shanower also illustrated the last book written by John R. Neill, which was scheduled to be published but he died before illustrating it. That book is also deutero-canonical.
Beyond all of that, you have a massive collection of books, some of which are "Orthodox Oz" sequels and others of which are clearly "Alternative Oz" stories. Confusingly, some of the alternative Oz books were written by Baum's son Frank Joseph Baum and great grandson Roger S. Baum. Baum's youngest son Kenneth Gage Baum also wrote a book. The most famous alternative Oz books are, of course, the Wicked book and its sequels by Gregory Maguire; the 6 Oz/Magic Land books by Alexander Volkov (which were hugely popular in the Soviet Union, and spawn their own set of Russian sequels by other authors); and the strange March Laumer books (March was brother to Keith Laumer, who co-authored one Oz book with him). March Laumer wrote 21 books in his own divergent Oz series, which borrowed both from Oz and from Volkov's Russian books. There is also a long list of books published by a non-profit fan club called Buckethead Enterprises of Oz and later Tails of the Cowardly Lion and Friends, and they published so many books (98 and counting), both orthodox Oz and alternative Oz, that it's almost too much to keep track of and certainly daunting to consider collecting. There were 16 books published by Emerald CIty Press, a division of Books of Wonder. There were 5 books published by Ozian Seahorse Press, which were by Ryan M. Atticus Gannaway, later editor of The Baum Bugle. Trying to collect or even keep track of everything is madness, but when I come across a known author like Phyllis Anne Karr, I mark that down as one I should pick up. ^_^
But getting back to my own collection -- I was still missing 3 of the original 40 canon books, which have apparently never been reprinted. This past week I ordered a copy of Lucky Bucky in Oz, book #36, for around $20. It's a very old book of course, but at least I can say I have it now. Book #35 the Scalawagons of Oz, and book #39 the Hidden Valley of Oz, apparently sell for much more than that, and I may find it difficult to buy both of those and complete my collection.
Collecting the deutero-canonical books and the apocryphal orthodox Oz books published by the International Wizard of Oz Club has been equally challenging, as many of those have been out of print since the 70's or 80's and probably did not have huge print runs to begin with. I picked up the Ozmapolitan of Oz by Dick Martin and Yankee in Oz by Ruth Plumly Thompson this week, and was a little disappointed that both books are oversized volumes, about 12x9 roughly -- I really want all of my Oz books to be the same size, but naturally that's not possible with so many different publishers involved. But there are other books from the Oz Club that are also too expensive for me to consider picking up, including several of the deutero-canonical books. :/
Quite a few of these books have been listed for sale on Lulu.com, which is nice. They're not cheap but not insanely priced collector's items either. It's very difficult to search for them -- any search on Baum or Oz yields his own books over and over, since those are all in public domain and there are many versions available. You have to know what you're searching for ahead of time in order to find what you want. I've ordered one of Phyllis Anne Karr's books from Lulu Press; her other books are not listed there but some of the Buckethead/Tales of the Cowardly Lion and Friends books are there, March Laumer's books are there, and quite a few other independent Oz books are there. So I have a lot left to work with if I want to keep extending my collection. ^_^