I don't have everything myself either, but that's the nature of franchises spreading themselves out, I suppose.
I don't know what to suggest, to be honest. In my experience, the xenosaga related stuff is... not very related to the actual games, or to each other. Let's see:
- Xenosaga DS - a DS game covering the events of episode 1 and 2 - remains in the japanese-only realm, with the only fan translation project I heard of stuck in development hell for some years now, if active at all. There are summations and translations of a few individual scenes around though, somewhat of interest in terms of what the team thought needed pruning, what needed clarification, what needed to be added or changed.
Personally, I don't agree with at least half of them, but Allen gets a bit more characterisation there that I think adds to his character in a worthwhile manner. When to read up on it? I read it after playing through the main three games; in case of replaying the franchise, I think it'd be best to leave them for after the games too, just to have things more clearly in mind.
- The anime adaptation seems to use some of those changes, at least as far as the general sequence of events go, but I'm afraid I can't tell you much more than that. I haven't been able to watch it to the end; I'm not sure I can enunciate why, it just felt... off-key and compressed in every respect. Some of the execution can be of interest, there are pretty shots and animations in there, as well original japanese VA to be had, but I can't honestly recommend it as something that adds to xenosaga story-wise.
- Pied Piper was a mobile, japanese only videogame, covering Ziggy's backstory. There is a translation of inbetween chapter cutscenes around that is basically requried reading before episode 3, or maybe even episode 2. It is kinda relevant (if needlessly vague and underdeveloped) chunk of story for those games, as far as Ziggy and testaments go, and the main games don't explain it in any capacity.
I don't agree with the direction they take with Ziggy overall, but it does contain several strong charaterisation bits for him.
There is some manga around, but I believe it's a full on fan project?
- There was some japanese only stuff on some website covering what happens between episodes 2 and 3 that is otherwise very briefly described in the database of episode 3. I read a summation of it awhile back, it's less than mediocre level of fanfiction storytelling, IMHO. It does add 'lemegeton' stuff and introduces Doctus, but it also doesn't actually explain anything, only adds more questions.
I'd suggest skipping this nonsense outright, but it's technically relevant to canon.
- There are translations of the commentary that came with the artbooks. Some of it could be mildly interesting, some of the pictures are cool (if often not included into the games in any capacity), but the only tidbit of note I can remember is that they've just straight up copy-pasted parts of KOS-MOS' early concept art when they made that T-elos cameo in episode 1.
Somewhere with episode 1 also came the descriptions of most of the main cast according to the enneagram personality types. Some of it doesn't relfect what is actually shown in the games and / or deliberately misleading to avoid spoilers for the episodes 2 and 3, but it can be an interesting read. Notable for having more characterisation for Mary than the rest of published canon material (that I am aware of) combined.
- There is a fantranslation of Xenosaga Freaks (by some of the folks on this very forum, I believe), which is a short, fun, but kind of meaningless, contextless adventure game. It's like a bonus episode of wacky cast hijinks sometime around episode 1, maybe.
- Namco x Capcom and the following games from its series feature some of the xenosaga cast in a giant crossover fight it out kind of thing. Like Super Robot Wars, just... more boring. I haven't played them in full, so I don't know if there are any potentially valuable bits of characterisation in there, but considering they reference abovementioned xenosaga freaks, I generally assume not.
Also, one of the later games includes some xenoblade folks and it's straight up spoilerrific all over the face for their own game, so please be aware of that.
- Bonus materials on this forum included a pack of xenosaga manga, untranslated (at least when I looked at it last). I have no idea about its canon status, even though one of them looked like it might be relevant to the main games in more than a 'yonkoma for fun' capacity.
- There was a disk iso with a bunch of xenosaga pre-release trailers for all three main games. Some glimpses of Jin's cut appearance in episode 1 can be caught in there, as well some differences in the cutscens that did make it into the games, but I wouldn't call it a worthwhile expenditure of time.
- At least one the wikis has character relation diagrams pictures in the character sections, per episode. Them, as well as the whiteboard xenosaga plot summation, can be very useful in helping to keep everything organised after the playthrough.
In short, I'd say reading up on Pied Piper, personality types and xenosaga DS can be useful either inbetween replaying the episodes or right after the marathon, but otherwise the side material content is on the slim side, both for better and worse.