Point Lookout and Broken Steel are must-haves, the first because it tells an interesting tale and adds a lot, and the second because it raises the level cap and continues the main story. Oh yeah, and getting a Lever-Action Rifle early on as a low-level character kicks ass/breaks the game (depending on how you look at it).
I liked Operation Anchorage a lot more than other people did for some reason. Yes, it was short and different game play wise, but it was still coherent and fun.
The Pitt, however, I abhored, mostly because of the depressing art direction and some of the enemies. Too much brown.
Mothership Zeta I have still to complete, so no verdict yet there.