Thankfully, at GL's insistence, there is very little EU between Episodes III and IV. There are a few things that are immediately post-ROTJ, like Dark Times, Purge, Darth Vader and the Lost Command, Imperial Commando, and the Coruscant Nights books, but they're all dated 19 or 18 BBY. And there's another batch of EU that's almost entirely 3-2 BBY.
The only things after the end of the post-ROTS EU (which we'll say ends at Coruscant Nights 3, since I don't know when 4 will be), and before the beginning of pre-ANH EU (which we'll say begins at The Force Unleashed 1), are:
-A few random Tales
-The Han Solo trilogy, books 1 and 2
-The Lando Calrissian Adventures
-The entire Droids series, including the TV show and the Marvel and Dark Horse comic series.
-Maybe a Boba Fett story? Depends when Enemy of the Empire takes place.
Those EU stories are scattered very thinly, and are so focussed on those few characters (Han Solo, Lando Calrissian, Boba Fett, the Droids) that it should be fairly easy to just not touch them in the Live Action series.
-Sparks Nevada, Marshal on Mars
"Who cares what evil lurks in the hearts of men!"
"Unless evil's carrying the Martini tray, darling."
-Frank and Sadie Doyle