Most people will say Broken Steel is the must buy of the bunch, and I agree. It's the only one that continues after the game ends, making it so when you beat it you can just keep playing that game instead of having to start a new one.
My other two favorites are Operation Anchorage and Mothership Zeta. OA lets you playing out a simulation of the Battle of Anchorage and in MZ you get beamed up to an alien ship, free other captives, fight the alien crew, and it's a good place to steal a bunch of awesome weapons.
The Pitt and Point Lookout are really good, too. With each only priced at $1.69, I'd say just buy them all, that's an awesome deal.