Players should strive for a collection of magic items that frustrate the DM's ability to challenge them and which make them unlikely to be killed by any single event.
To Wit:
1) Heward's Handy Haversack/Bags of Holding: Encumbrance? What's that? Let me reach into my back pocket and pull out my all purpose tool kit of dungeon survival.
2) An item that grants flight, or at least the ability to climb madly like slippers of spider climbing.
3) An item that grants resistance. Essential for fighters overcoming will saves, etc.
4) An item that grants fortification or concealment. Essential for avoiding nasty criticals, sneak attacks, etc.
5) An item that increases the primary attribute of the character. Eventually, you are going to need the boost; 3rd ed. CR assumes you will get such items and monsters are scaled accordingly.
6) A magic item sufficient to overcome most commonly encountered DR. It is ok to rely on buffs or spells or tricks to defeat the occasional wierd critter, but if every blasted thing has DR X/+1 then you better have a magic weapon or dispel magic is going to ruin your day.
7) A general purpose healing item in the event cleric is occupied, away, or unconscious. In survival, nothing is more important than the ability to keep the cleric alive.
8) An item that grants protection from evil, or at higher levels an 'escape button' item that allows for rapid retreat (or both). He who runs away lives to fight another day.
9) An item that grants darkvision or a source of magical light. Preferably, this is not something carried in the hand unless it is a weapon or shield, otherwise you are eventually going to need an item that grants a third hand. Torches are for casting shadows, extending fields of vision down long corridors or in large rooms, burning/checking for green slime, setting fire to anything suspicius and moldy looking, starting fires to stay warm or dry off, checking for presence of foul air, coup de gras versus trolls, lighting flasks of oil, fighting mummies, forcing morale checks on animals, and so forth. They are essential dungeoneering items. They are not however dependable sources of light.