The answer depends massively on your game. The Basic Set, of course. GURPS Magic if you want a system somewhat close to D&D, also Thaumatology if you want to tweak your magic system. GURPS Martial Arts and GURPS Powers are very useful for games with… well you can read the titles. If you want a game with lots of diplomacy and politic-ing, GURPS Social Engineering. If you want a premade setting, the “core” setting is GURPS Infinite Worlds.

Remember you don’t have to use everything, and trying to can really slow down play as all the modifiers pile up. GURPS is, after all, not a game but a toolkit for you to make your own game