In no particular order, not including the obvious three core books:
Book of the Righteous (Green Ronin) - either to use the pantheon as-is, or for inspiration for creating your own. By far the best book on religion, gods, and clerics I've read for the D&D game.
Weapons of Legacy - a more fully-developed system for "levelling up" magic weapons than what was in Unearthed Arcana. Has some great flavour in the rituals used to learn about and unlock additional powers, and tips for converting higher-powered DMG items, such as the Staff of Power, to a more gradual acquisition of powers. Some of the personal costs for the weapons perhaps need to be toned down a bit though.
DMG II - lots of really useful and time-saving stuff in here, some of which really belongs in the core DMG
Spell Compendium - great variety of spells from a number of different sources over the past 6 years; reduces the number of books/magazines to carry to each session. Really adds a lot of flavour and utility to the Bard, Ranger, and Paladin spell lists in particular.
Eberron Campaign Setting - Eberron has become my favourite (by far) of the official D&D campaign settings. One of the few settings that really considers the impact of the assumed (default) level of magic in D&D on the development of a society. The setting is built around the core rules of the game, rather than trying to force the game rules to fit a certain concept. The world is clearly designed to allow the PCs to take center stage.
Sharn: City of Towers - assuming one uses the Eberron setting, this is a fantastic book. Only thing it's missing is a pull-out map of the city.
Complete Adventurer - the Scout class is probably the most solid of the new base classes introduced in this series, and the book features many well-designed feats and prestige classes that are suitable for all character types. Also includes many new uses for the skills listed in the PHB. It's the only book of the "Complete" series that I found worthwhile enough to buy.