I started off buying a lot of 3rd party material and got burned on it. However, I found that even after the first couple of months in to the D20 movement, there were some publishers that were going to be the ones to watch. The following publishers are really the only companies that I consider anymore (unless a particular book from one of the "banned" publishers is getting rave reviews):
Green Ronin: It doesn't matter if it's a monster book, Mythic Vistas, or M&M, they put out top notch material every time.
Malhavoc Press: Monte and Company write some of the most innovative rules out there for D20 fantasy play.
Fantasy Flight Games: Some of their early material was slightly questionable, but I still use it. I highly recommend taking advantage of their big $5 sale. I picked up their Path of series, and even with it being 3.0, it's still really good and very usable. Plus, Spellslinger is one of the best mini-campaigns on the market right now.
Privateer Press: They may not have a lot out right now, but what's out there is pure gold. They write some of the best overall material. Period!
Sword and Sorcery Studios: These guys started off so shaky with the Creature Collection, that I nearly banned them from my buy list. I'm glad I didn't. Most of their Scarred Lands line is excellent. Everquest and Warcraft are two very good lines that add a lot of depth to the video games. However, I'd stay away from the Gamma World PHB like it has a scorching case of herpes. Plus, there are a few SL books out there that aren't up to snuff. Most of their releases (especially of late) have been very good.
Inner Circle: I only have Denizens and Legends of Avadnu, but these are two of the absolute best monster books on the market, and I really look forward to more from then.
Necromancer Games: These guys write some excellent stats. However, I wish they could write fluff just a bit better. If they could make their monster descriptions, background information, and so on as good as their mechanics, they'd be one of the best.
On the PDF side, check out Ronin Arts, Blue Devil, and LPJ Designs. Those outfits put out some of the best material for D20 Modern and M&M Superlink that you're ever going to find.
Adios,
Kane