Utopia hands down, it was the first dlc for the game and added many features now considered core parts of it. Federations is also a must in my opinion, but that is more up to personal taste.

Aside from those two I would just read up on the packs and buy what sounds cool to me. At least that's how I did it back in the day when I started playing.

E: also note that paradox recently introduced a subscription model as well, which gives you full access to all dlc while you are subbed. This may be a great option to dip your toes and try out the content before buying it.