If you don't have the materials to make steel, or just haven't gotten your supply chain together for it yet, it's a good idea to buy whatever steel crap they have and melt it all, or use it as is in a pinch (if you haven't set up a military yet a steel helm and weapon would be a great way to get started). Trap components are stupidly overpriced (for this reason they are a good thing for you to sell), so pass on those unless you have loads of spare trade goods. Anvils are one of the cheapest and best sources of iron and steel, order lots.
I also buy all of their food and booze, especially the meat, because there's no good reason not to have a few billion masterwork roasts in a comically oversized food stockpile. That said, I never order food, except maybe exotic high value meat, because they always bring more than I really need anyways.
I always order gypsum plaster unless I have gypsum, as that's helpful for proper medical care.
As far as animals, I don't play masterwork, but vanilla turkeys are generally regarded as being the best bird for egg and meat production, but I'm fond of geese. Birds are the ideal animal food source, since once you have nest boxes set up they are absolutely zero maintenance. So long as dwarves are hauling food, eggs will show up in your stockpiles. They also produce quite a lot of meat when butchered, considering their lack of grazing, fast growth rate, and often enormous clutch sizes.
As far as non birds go, I like pigs and dogs. Dogs are dual purpose since they're trainable, but pigs can be milked, and I like having a cheese making industry. If you get grazers, it's nice if they're shearable, or at least milkable. Water buffaloes and yaks have high grazing requirements, so avoid them if space is an issue.
I also always buy all their wood, and usually order more, because you can never have enough wood.