Of the old DLCs, AoW is the most important by quite a wide margin. It's still pretty much essential. Res Publica is only worth it for the national focus, which can be gotten through Common Sense instead (but it is very cheap). Wealth of Nations is still quite cheap and has a few nice little things, but most of these things could be done by a mod or have been made irrelevant with patches. CoP for its cost is still not worth it by any stretch if you're on a budget.
The more recent ones are getting into strange territory, since some of them started to include mechanics that (depending on your tastes) may not even be an improvement. Common Sense for instance has a lot of nice little things (the most important by far being subject interactions), but you may find that the HRE, development system, and karma are worse than the game without it. There aren't as many little things in Cossacks (except for hordes), and you may find that estates are tedious or make the game too easy, while the diplomatic feedback system is worse than what preceded it.
Mare Nostrum's Condottieri may also be found to be irritating, while the other features are just incredibly minor for the price. El Dorado for its price offers extremely little in terms of gameplay, maybe tied with RoM and CoP for the least; whether it's worth it would hinge entirely on whether you really think you'll get any value out of the nation designer. I think most people play one or two games with it and then never touch it again.
Then there's Rights of Man, which looks to be the most overpriced DLC for the amount of content yet, offering nothing major. I don't think this is a bad thing, though. The ridiculous patchwork of paid vs free content that's come about has hurt the game quite a bit, and at this point buying the DLC is probably more about supporting the free patches where most of the meat is.
So I guess in summary, just get AoW, and then decide about the other ones after considering whether you think something on their feature list is worth it.