So I looked it up and depending on the platform you bought it on there can be a number of DLC that came included with the trilogy set. Assuming you bought it on the PC it will have come with the DLC for ME1 included and the 'cerberus network' which provides some smaller free DLC alongside Zaeed, but none of the major DLC for ME2 or 3 will have been included. So with that in mind if you're interested in buying the DLC, here's what you'll need to know:
Mass Effect 2
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Kasumi - Stolen Memory: Good DLC, fun enough character, but not really essential to the plot in any way and although fun to poke around with Kasumi herself is not actually interactive like most of the standard crew of your ship. It's an entertaining enough piece of DLC but if you're looking to save money it can be safely skipped.
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Overlord: Again, good DLC but also non-essential. It doesn't provide any bonus characters or anything but is a good length mission with some interesting vehicle bits and an entertaining enough plot which ultimately ends up having little to nothing to do with the series overarching story. Again, not bad but can be safely skipped if you want to save money.
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Lair of the Shadow Broker: Essential. Probably my favourite piece of DLC in the entire Mass Effect series it's fairly important to the plot and provides one of the coolest missions in the franchise. This one is a
must-buy for those interested in the 'full' sort of Mass Effect series. Might even be my favourite part of ME2, not just DLC, I really really liked this one and highly recommend it.
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Arrival: Plot heavily and important to the story, but sort of a bland mission even so. It's pretty integral to the overarching story and bridges the gap between Mass Effect 2 and 3's plot, but isn't terribly long or entertaining. Sort of a strange case then where how important it might be to you depends entirely on how heavy of a priority you place on story over gameplay and value.
Mass Effect 3
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From Ashes: This piece of DLC frankly should have been in the default game as yes, it's pretty integral to the plot and yet was controversially offered as a piece of day 1 dlc and pre-order incentive as opposed to having been included for everyone as it probably should have been. Basically it gives a full new companion for the ME3 game that's well integrated into the crew
(Unlike Kasumi and Zaeed from ME2's DLC) and some important story stuff. Kinda a must-buy, but it shouldn't be something you'd have to buy at all. I'm still grumpy about that.
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Leviathan: I actually quite liked this DLC but some others don't. In any case it's a solid piece of story content with a decent length and some fun gameplay and environments. It's not 'truly' story mandatory and ultimately doesn't add anything major to the game, but it's a fun adventure nonetheless. Worthwhile, but can be skipped if you wanna save pennies.
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Omega: This DLC is in the same vein as ME2's Overlord in that it's a pretty lengthy mission that's fun enough on it's own, but ultimately doesn't really contribute much to the overarching story. Pretty combat heavy so if you're really enjoying the gameplay it's a worthwhile buy, but from a pure story perspective it's pretty superfluous unless you
really like Aria and Omega. Not bad, but can be skipped.
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Citadel: Some people love it, others hate it, but it's definitely worth playing. Citadel is a weird sort of DLC in that it's a basically a sort of love-letter to the franchise and in a way a letter of apology to the fans that were so angry about ME3's ending. Personally I love it, I love that it doesn't take itself too seriously and that it still manages some truly touching moments, but it's tonal shift compared to the apocalyptic vibe from the rest of ME3 can be a bit strange. Regardless of personal opinions though it's a huge piece of DLC that adds tons of content alongside a good length mission. Oddly enough I'd say worth buying, but wait till
after you've already beaten ME3 to play it.
Think I'm going to save this post since ME's DLC comes up as a question pretty often and I actually put some time into this reply. In any case hope that helps!