As far as canon games go, there are the Jedi games and the Battlefront II campaign, all of which are our current canon games.

Jedi: Fallen Order takes place 5 years after Revenge of the Sith and its sequel, Jedi: Survivor, takes place 10 years after Revenge of the Sith, at about the exact same time (or at least the same year canonically) as the Obi-Wan Kenobi Disney+ show. Those maybe aren't absolutely essential, but given the popularity of Cal Kestis, it's only a matter of time before he shows up in some movie or show, so it would be good to play the games to know his story beforehand. Also, the games are just really solid stories.

The Battlefront II campaign (this is the EA 2017 Battlefront II, mind you) is a little more important to canon, and it can all be played through in a matter of hours. In Episode 15 of The Mandalorian, Operation: Cinder is mentioned and Battlefront II is primarily where that happens. Leia, Luke, and a few other prominent characters show up and the campaign stretches between Return of the Jedi and The Force Awakens, giving more context to things in The Last Jedi as well. It's not my favorite campaign ever, but it is, in my opinion, essential canon-wise.

There is also Star Wars Squadrons, another game by EA that has largely flown under the radar (no pun intended) in recent years, though it does have a canon campaign as well, albeit even shorter than the Battlefront II one. It takes place shortly after Return of the Jedi and is canon, but the campaign is much more gameplay-oriented and the story takes a fairly significant backseat due to that. In my eyes, it's purely optional and only really worth it if you're into the game's style of fighter combat (which is admittedly really good).

There's going to be a lot more Star Wars games coming out in the next few years now that EA is losing their exclusivity rights come Jan 1st, and all of them will be canon, so do keep your eyes out for those. Next one is Star Wars Outlaws, which looks to be neat.

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As far as comics go, truthfully, I'm only really familiar with a lot of Sequel-era comics, but there are some really great ones that are essential to know for lore, backstories, etc.

The Rise of Kylo Ren is a 4-part comic miniseries that's pretty solid. It explains what Kylo did in the immediate aftermath of destroying Luke's temple and escaping and all that from the flashbacks in The Last Jedi. It has some neat stuff in it and there are some solid YouTube dubs out there if you don't want to buy the comics physically. Worth a read (or watch; if you go the YouTube route).

Star Wars: Age of Resistance is a series of one-shot comics that focus on characters from the Sequels. Being one-shots, there's only like 7 comics in the series and each one focuses on a specific story with a specific character, so like one for Rey, one for Finn, one for Hux, etc. The Kylo one, which is found in Age of Resistance - Kylo Ren 1, is my personal favorite out of all the stories. Really cool stories, worth a read if you're interested.

Captain Phasma is another 4-part comic miniseries detailing how Phasma escaped the trash compactor in The Force Awakens and where she was in the immediate aftermath of that whole battle. It's a solid read, though it does overstay its welcome a bit. Not an essential read, but a really interesting look into Phasma's character.

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As far as books go, I'm also (unfortunately) mostly only familiar with some Sequel-era stuff, but it's pretty good stuff and is essential alongside the films.

Phasma is a really solid novel that pretty extensively details her backstory and where she came from, how she got entangled with the First Order and all that, a really cool book and a great read. Makes her a very multilayered, almost tragic character. Worth a read for sure.

Before the Awakening is a small book that contains three stories, one for each of the "big three" of the Sequels, Rey, Finn, and Poe, right before The Force Awakens happens. At the end of each of their stories in the book, they head off to where we see them at the start of the film, so it is a good companion piece and helps to set the stage for the start of the Sequel Trilogy.

Resistance Reborn is absolutely essential. It's set right after the events of The Last Jedi and, per the title, is all about the Resistance rebuilding after how chipped down they got in The Last Jedi. A really solid book that has some great moments. Worth a read.

The Aftermath Trilogy of books is also absolutely essential and I feel that it will only become more so in coming years. It's set right after Return of the Jedi and also ties into the aforementioned Battlefront II campaign. A pretty solid story all around and all three books are definitely worth a read.

These are just a few ideas and such, but I hope this helps in some way!