So hard to saying why I don't like some of the well recommended picks, but I'll control myself and limit myself to my recommendations.
Green Ronin - Book of the Righteous (This is the book I wish I could write if I had time to write an RPG book, and pretty much the gold standard for a divine supplement and an RPG book period. Also, definatively what the Paladin should have been in 3rd edition. Awesome. Amazing.)
Green Ronin - Shaman's Handbook
A Magical Medieval Society
A Magical Medieval Society - City Guide
AEG - Toolbox (It's like the random dungeon dressing tables at the end of the 1st edition DMG, only for a whole world)
Mongoose Publishing - Book of the Planes
Ambient - Everyone Else (I could do this or wing this, but now I don't have to.)
Ravenloft Player's Handbook - I personally feel that the fear/horror/madness rules should be made core.
Hot Pursuit - the Definitive Guide to D20 Chases (The best rules supplement to have been published for D20. Still has some kinks in it, but definately a big step in the right direction.)
Necromancer Games - Tome of Horrors (Mentioned, but really, worth mentioning again)
Dungeon Crawl Classics - Into the Wild (DDC mentioned, but really, can't mention this enough)
Special mention, 'D20 Firearm Mechanics, by Kenneth S. Hood'. It's a fairly short pdf document (21 pages). Mine has 'beta version' on it. I'm not even sure where I got it, but its far and away hand's down the best firearm rules for d20 ever published - and I'm pretty sure they never were actually published for sale. Absolutely and unquestionably makes any other D20 firearms manual look like a freaking joke, and makes some more famous products on the market look like an utter waste of your money. If I ever have need for D20 modern in any setting, firearms will be converted to Mr. Hood's most excellent rules.