Iron Kingdoms is pretty good. Sure, it has inconsistencies here and there, but you only notice them because you actually read through the setting book - which is more than I can say I've done for most settings. In the beginning, it only had three books: Monsternomicon (MM by any other name - and even had a list of core monsters that work just fine in the setting), Player's Guide (or whatever it was called. Half of that is art and descriptive info.) and the World Guide (an inch-thick book of nothing except setting info. Everything from currencies to crime & punishment to holidays).
Now, unfortunately, it has a few issues: a lot of these monsters will seriously own your party. This is because you just don't get magic items (protip: This is D&D 3.5. Like it or not, a character has to have their wealth-by-level, until you get to the Wish Economy, where they are assumed to have anything worth 15K or less), and also because, well...
I'm going to tell you something unpopular yet true: If your class doesn't have 9th level spells listed somewhere, you won't make it. Fighters, monks and all of those guys are in fact underpowered after a certain low level, and that's all there is to say about it. The fighter and monk are especially bad. A rogue is good as long as they have plenty of magic items to abuse, in effect pretending to be spellcasters.
Iron Kingdoms makes half the monsters outright immune to magic, or even magic-absorbent. This means there is no-one around who is able to effectively hurt them. When I played it, I was really lucky: I played a Warlock, a class that is normally underpowered, but took a feat to make Eldritch Blast 'Supernatural' instead of 'Spell-like'. So between flying and being able to hurt things with spell-immunity, I could actually deal the damage and not get hurt. Yeah, the Warlock was the most useful.
Also, I recommend not getting the supplement magazines unless you have a hard-on for guns. I think guns suck, unless we're talking 40K with its rule of cool. If the gun isn't an automatic rocket launcher or a flamethrower, I don't want to hear about it. In core IK, you have pistols (single-shot, needs a round or so to reload, deals something like 2d10 damage), double-barrelled pistols (2 shots), rifles (4d10, takes even longer to reload) and double-barrelled rifles. That's it. High damage, range, but you just won't be shooting very often.
The gun-mage is cool, though. They have guns, but fire spells out of them instead.
The supplements introduce grenade launchers and gatling guns. Suddenly the spellcasters all suck, the melee fighters still suck, and ranged fighters, well, they can do heaps of damage to enemies in your standard boring-ass way of the US revolution or WW1, but they still can't do anything useful.
So there you have it. Avoid the supplements. Be aware that the core thing has issues. It's generally very good though. Shame about the company, too. Oh, and the Witchfire trilogy is a wonderful campaign for it. When was the last time you felt sorry for the main villain before you even met them, and wanted to help redeem them?
Oh, also, if your DM suggests mixing it with Eberron, you should probably stab them in the face. With a chainsaw. Failberron is bad enough as it is (to be fair, there aren't many settings I do say nice things about, but Eberron is particularly worthy of scorn, and the "It's better than Failgotten Realms, so it's perfect!" crowd anger me more), but mix it with IK and insist that you need Failforged in it? Yuck.