Might as well throw in a general DLC rundown so we can point people towards it for the next five or so pages.
-Major DLC-
Sword of Islam: Play as muslim rulers.
Legacy of Rome: Enables retinues (except for nomads, who are a special case), and add mechanics for the ERE plus non-roman greek and georgian characters.
The Republic: Play as duke-tier or higher coastal republics.
Sunset Invasion: Praise the Sun.
The Old Gods: Play as pagans or zoroastrians. Also an earlier start date.
Rajas of India: Play as indian religion rulers. They are quite interesting, but no one cares about them.
Sons of Abraham: Cardinal mechanics for catholics, fleshed out heresies, jews, and a bunch of events.
Charlemagne: Praise the Zun. Adds an even earlier start date.
Way of Life: Adds some stuff to keep you busy between wars. AI will only ever pick seduction.
Horse Lords: Without it, nomads will be tribals. Otherwise you get nomads and can play as them.
Conclave: Adds a bunch of vassal-ruler mechanics.
Reaper's Due: Adds mechanics related to diseases and medicine.
-Minor DLC-
Ruler Designer: Minmax your character.
Customization Pack: Cut your hair and name your kingdom something silly.
EU4 Converter: Lets you continue your map-painting campaign.
Portrait Packs: Look pretty, completely option. I like them.
Unit Packs: As above, also like them
Shield Packs: Completely optional, buy if they are incredibly cheap and you have the spare cash.
Music Packs: Some of the tracks are really good, especially the latest ones, and you get them in your hard drive to use as see fit.
E-Books: Should these really be sold as DLC?