Way of Life, Conclave and Reaper's Due add something to every play through, and are always my top three recommendations. Legacy of Rome adds retinues, but most of the rest is fairly specific to certain cultures. Retinues are a pretty big thing though.
Monks and Mystics is fun as well, just because the societies add more things to do when you aren't at war. Some religions have access to way more societies than others though, so it really depends on what you play.
Holy Fury adds a wide range of things. Bloodlines are available to everyone. Most other things are aimed at Christians or pagans. (It is one of two that also unlock pagans).
Jade Dragon adds interaction with an off-map China. It also adds new reasons to go to war that are more broadly useful.
Horse Lords changes the nomads from tribal to their own set of mechanics (both for you and the AI). It can be worth having even if you don't play as nomadic, just so the AI is using it.
Having either Jade Dragon or Horse Lords enables the trade routes and silk road mechanics which are nice, though it depends on where you are playing how much you see them.
Sons of Abraham also adds a bunch of small things all over the place. They are mostly minor but there are a lot of them.
The others mostly enable you to play as specific religions or government types. Two add earlier start dates as well. Those you can grab when you want to try those specific areas, or ignore if you have no interest. (Some of those cover some of my favorite areas, I don't want to sound dismissive of them, but their utility very much depends on what things interest you.)
Sunset Invasion adds an invasion of Western Europe by Aztecs as a later game event/challenge. I don't have that one.
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