Hmmm.... there's been some good advice given on 3rd party stuff, so I'll talk about the three you listed.
I don't have the Underdark book, and haven't looked through it for more than 5 minutes, so I won't comment on that.
The Expanded Psionics book is really enjoyable, in my opinion. I bought it recently, and haven't regretted the purchase. Some of the abilities seem a bit... overpowered, but it's mostly a good collection of stuff. The classes are neat and a lot of the powers are interesting. I find it to be very flavorful, but then I'm a fan of psionic stuff.
MMIII I looked through today, for a good long time (my wife is asst manager at Waldenbooks). I liked it, which is much more than I can say for MMII, or Fiend Folio. There are some really neat, higher CR monsters in MMIII. Problem wise, I can highlight 3 things:
1) Not a lot of flavor in the descriptions. The monsters are neat, but the presentation is bland as hell. A lot of the art's good though.
2) Too many races again. There are now roughly 8 billion humanoidish monsters in D&D land. More lizardmen, more of these goblinish guys, some more guys that look like orcs if you squint, and so on. I'd rather see more unique monsters, those which, like the Tarrasque, represent a solitary beastie of legend.
3) Some *ahem* screwy monsters. There are some great beasts in MMIII, and then there are some monsters which are too little fantasy and too much "As envisioned by the Heavy Metal guys after a 3 day bender of shrooms and opium-den crawling".
Bonus #4 problem) The Loths are sadly weak and flavorless. I loves me some Ultraloth action, and they're supposed to be premiere Hard men of the outer planes - so why the hell are they CR 13?
That said, it's still a really cool book.
IF it were up to me, I'd get the Psionics book, but as I said, I'm a big fan. If you really like monsters, and if you really run your party through heavy combat against a variety of foes, then MMIII will keep your adventures fresh for a long time to come.
Also, you should buy all of my books and PDFs you can find.
Patrick Y.