Sands is the must have for me, and the reason I brought Runebound in the first place.
Scepter of Kryos and Cult of Rune are great adventure suppliments, there are a few Doom track varients for Kryos that make it a load of fun. (Seven Scions is a fun one too, not sure how it stands up to replayablity as only played it once)
Rituals and Runes is a must have as well, other than Relics of Legend all the item expansions are presentable but not must haves. (My Market deck is a tad too tall to be honest)
As for monster expansions my vote is with the two wave one packs, terrors from the tomb and the dark forest. These two add some very nice interesting cards to the blue deck and reduce the randomness of the Red deck a little with one encounter each that pulls Margath after you defeat them. (Plus give it variety from just being dragons)