The frozen waistes expansion is a good choice. it changes the game play in a way that the board itself becomes dangerous. other new mechanics offer ways to get powerful items and even an alternate way to win the game (as aposed to just killing the bad guy) from killing monsters. also this game has alternate rules for gaining levels that make the begining of the game a little easier so you can get to the "meat" of the game faster. (I use it with a my rune bound games now.)
I also like the sands of al-kalm expantion. With its "choose your adventure" none lineir story line and multiple ways to win, its got a lot of replay value.
I have'nt played any of the small story expansions though, so i cant say one way or another. Hope that helps.