For individual PCs, what they buy depends on their character classes, mostly. A fighter-type will undoubtedly buy enchanted armour, shields and weapons. Rogue-types will want stuff like Cloaks of Elvenkind (best item in the game--too powerful for the price, really), Rings of Blinking, etc. Wizards and Sorcerers usually go for scrolls from my experience (wizards for learning, sorcerers to use), some wands, bracers of armor, etc. Everyone likes stat boosters.
Sometimes parties pool together to buy things beneficial for all parties involved: bags of holding and wands of healing are common.
Anything else is basically upto the individual player/character. There are lots of "fun" magical items (immovable rod, to name one), and even non-magical stuff is great. Strongholds, etc, also fall into this category: my ranger couldn't care less about owning a section of the forest. Who needs the responsibility? Maybe when he retires, but certainly not now... On the other hand, my (now deceaced) sorcerer would have loved to create a college of sorcery (ie for Sorcerers only). It all depends on the character.
A good rule of thumb is to buy stuff that will enhance your abilities, or maybe make up for some shortcoming of the character.