I "third" Undermountain. I was looking through it again this past weekend while going through old 1st & 2nd ed stuff, and I had forgotten how huge that place is. Plus, at least half of the square fottage on the maps isn't even detailed in the book, so it's ripe for dropping in whatever you like. If you only have cash for one, get the first box; the second was a pretty poor follow-up, only describing two sub-levels. There were three Dungeon Crawl - Lost Levls modules meant to fit in with Undermountain, but I only have one of those (Maddgoth's Castle), and it had some neat ideas.
BTW, I had forgotten how great the maps were in the Lanhkmar supplement. The entire friggin' city is mapped out for you!