I would recommend Way of Life, Legacy of Rome, and Reaper's Due for any style of play. After that it mostly depends upon how you like to play the game and which areas you want to play in. If you're into conquering the world I actually recommend Sunset Invasion. Once you start snowballing there usually aren't many threats depending on how experienced you are with the game. Sunset Invasion can provide a challenge later in the game if you haven't already taken everything. Some people aren't huge fans of SI because of the obvious lack of historical accuracy. Then again, the game itself isn't historically accurate - even before you unpause a fresh game. All up to your preference.

Swords of Islam - Pick this up if you're interested in playing a Muslim ruler.

Old Gods - Pick this up if you want an earlier start date or want to play some Pagans or Zoroastrians

Charlemagne - An even earlier start date, custom kingdoms and empires

Sons of Abraham - Has a bit of content for Christians, Jews, and Muslims alike.

Rajas of India - Obviously pick this one up if you want to play in India.

Horselords - Play as a nomad. Adds tributaries and the silk road. Make your own mercenary band.

The Republic - Buy this one if you want to try out a republic and form a trading empire.

Monks and Mystics - Adds secret societies, some of which are extremely powerful. Some people like the fantasy elements, others dislike it. I'm talking about things like sacrificing someone for dark power and healing yourself with that power. The societies make the game a little too easy if you take advantage of them but can be fun depending on your preference.