Any recommended "must have" DLC from all three games?
Bring Down the Sky (ME1) - because it's free (on PC) and adds a mission that has some repercussions in Mass Effect 3. Also, you get to kick some Batarian asses and save the day (again).
Lair of the Shadow Broker (ME2) - must-have for me. You get to investigate the Shadow Broker's base of operations and learn about his identity. In fact, if you don't play it, you're pretty much left in the dark at the beginning of ME3 regarding Liara's actions and you miss out on a lot of references. Why they left it out of the original game is beyond me. It also adds some interaction with Liara, especially if she's your romantic interest.
Arrival (ME2) - as above, it's the missing link between ME2 and 3. Not as crucial, but still important and has some really badass action - it's arguably one of the most challenging parts of the game, since most of the time you're on your own. Should be played after the suicide mission and explains why they put you in the arrest when you returned to Earth.
Overlord (ME2) - hit or miss, really, but many people seem to be fond of it. It's one mission, but the last choice you have to make there makes it something special. In short, you get to investigate Cerberus' most recent atrocious project.
From Ashes (ME3) - IMO the most important DLC for the last installment of the trilogy. You get a cool, Prothean squadmate with a lot more interaction than Zaeed and Kasumi in ME2, and it actually makes sense plot-wise. It gives some insight on the Protheans and their war with the Reapers. Combine it with Citadel DLC for hilarious results (Drunk ancient warrior? Why not?).
Leviathan (ME3) - next to no actual action, but it has one important plot revelation concerning the Reapers. You can as well watch it on youtube, though I admit I had some fun playing it.
Citadel (ME3) - nothing important plot-wise, but if you think ME3 had too little squadmate interaction, get it. It's mostly comic relief, but you get to see your buddies get wasted, and there's also a mission attached to it which is actually quite good.
Omega (ME3) - you can skip on it, but if you can spare some extra cash, you probably won't regret it. It's a great mission for ruthless renegades (although you can play it as paragon, I did) and you get Aria as your companion. Still, it's probably the least essential from all the ME3 DLC's listed here, so make your choice.