I had the same dilemma myself after playing a few times and realized that this is one of the best games i ve ever played! So I decided to do a "little" research on which expansions to buy (if not all!).
Ive reached to a conlusion that:
From the big expansions I should buy in that order:
Dunwich Horror: one of the best expansions and the one to start with in terms of difficulty.
Innsmouth Horror: probably the best expansion but quite difficult to start with.
Kingsport Horror: not quite preffered when it comes to what it adds to the game.
Miskatonic Horror: it comes last just because is an expansion to the expansions!
From the small expansions:
The King in Yellow: it's the atmosphere and what it adds to the game.
The Lurker at the Threshold: it makes the game easier and combines well with the other expansions.
The Black Goat of the Woods: it makes the game even more difficult.
Curse of the Dark Pharaoh: it's like an extension to the base game.
Hope this was helpful!