At the moment, I'd say the must haves are (in order):
1) fsd. Makes the entire upgrade process a lot less time consuming. You'll be moving around a lot, so you'll definitely feel the difference.
2) shields and shield boosters. The difference between factory and modified is simply to gigantic to not partake.
3) Thrusters, usually dirty drives. Unless you're mostly exploring, you will definitively feel and appreciate a noticeable boost in the flight model.
After that, it's up to you. There are a lot of cool things you can do with weapons, but I also like to have a bit of hull integrity under my shield.