If you have plans on buying more than a couple of them, you're almost better off getting the GOTY edition and installing the DLC from it. I list them in the order I played them.
Operation: Anchorage... this is a pretty linear shooter. The game engine isn't a really good combat engine, so this isn't terribly good. But you can score some amazing loot after finishing it.
Mothership Zeta... another linear shooter and the aliens are way too easy to kill. I mostly used melee items. Worth playing because alien weapons score big money and the Alien Disintegrater is pretty damn good weapon. They take your gear away at the start, but you get it back pretty quickly. Just make sure you search everything until you find it.
The Pitt... some decent loot in this one, but if you have Anchorage, there's not much point collecting all the ingots to get the best gear. If you're not careful, you'll miss getting your gear back. You get access to it about halfway through and I didn't see any notification. I had to read a walkthrough to find it (you can find it in a foot locker immediately after winning your freedom). Best thing about it is a machine that lets you convert bullets into different bullets. Great for stocking up on your favorite ammo.
Broken Steel... raises the level cap, adds lots of cool perks, and has a pretty epic final battle. Pretty much a required purchase, although there's not tons of mission content.
Point Lookout... probably the most expansive of the DLC. It adds a lot of locations and since Maryland wasn't touched by warheads, it has a different look & feel. It also has some of the best main missions, especially a surreal level featuring the bobbleheads. But too many of the locations are little more than points on a map and the Swamp People don't have enough variety to keep it from feeling like attack of the clones. I also had the worst problem with freezes on this one. The epic battles in Broken Steel were pretty bad, but in Point Lookout, I was saving every five minutes just to avoid losing progress. The outdoor regions had the game chugging on my PS3.