Dead Money is a great, tense, horroresque story.
Honest Hearts was my least favorite, but it's still pretty good. Adds great, lore appropriate guns to the game.
Old World Blues is my favorite. Fallout meets the Twilight Zone.
I usually run Lonesome Road first. With a scoped hunting rifle, I can take it on at lower levels. Great background lore for the Courier and the Mojave.
Gun Runners Arsenal adds new weapons and improvements to some weapons, I just wish they had added the improvements to the vanilla weapons instead of giving us new duplicates of original weapons. I still wouldn't play the game without it. Got to have the ammo expansion.
Courier's Stash is great. Even if I don't use every piece of equipment, it's still a nice selection to choose from for the early game. My only beef was having the start of the game slowed down by having all that junk dumped in my inventory upon waking up. I actually made a mod that places that stuff in the Goodsprings area instead of shoving it at you.