Fallout 3 DLC's

There is no specific order since they are all stand-alone stories. It's been way too long since I played them.
They are all worth it because they are like better and bigger quests. There is one featuring some island which has a horror feel to it, I really enjoyed this one. The other's were great but not that memorable, so you might wanna go with this one first if my opinion matters to you.

I would definitely recommend getting Broken Steel, as it lets you continue playing after you complete the main story as well as adding new content. I also really enjoyed the Pitt DLC.

Operation anchorage was fun :)

It cost 12.50 to buy all the DLCs. and the DLC doesn't really ever get cheaper.

I'd recommend just buying the GOTY edition.
You might be able to get it cheaper via trading.

If you can't get the GOTY Edition (it's always cheaper than buying individual Bethesda DLC) rather than recommend one DLC I would advice you to avoid one, Mothership Zeta. It's definitely my least favorite out of them and is just strange. Not that it's not fun, it's just my least favorite.

Broken Steel to retcon that insanely stupid ending. Including all the face-scratching painful stuff your companions say when you ask them to kindly go into the radiation chamber due to, you know, being immune to it.
Or Operation: Anchorage. It is a corridor shooter where you have infinite health and ammo, but it gives you stuff which makes you permanently invisible, and a sword that one-hit-kills everything. No, I am not joking, this is the standard, normal loot for the first commercial DLC. (because who needs balance and play testing.) The good side is: you become effectively immortal so you don't have to worry about dying and you can explore as much as you want.
After that, Mothership Zeta. It is another corridor shooter with unbalanced enemies and even more unbalanced energy weapons, but you can collect so many pistols that you can permanently broke the already fragile economy and buy everything from every vendor for about 8-9 in-game months from one load of the loot alone.
After that, the Pitt. It has the only choice in the entire game that has actual branching storylines, and it also gives you a melee weapon that can kill the über-level enemies in 2 seconds, plus you get an ammo press where you can convert most ammo types to the one you want, letting you have infinite ammunition for the rest of the game.
And lastly, Point Lookout. bad story, bad design, horrible items, terrible map, but it has the best side missions in the game.

And if you realised I forgot to tell about the stories… yeah, apart from Broken Steel, they don't really have one. Even Broken Steel is essentially two large gauntlet arena fights tied together, but it is long and has a large amount of side content and dialogue. It is considered by far the best DLC, but it also introduces über-level enemies with ridiculously broken stats (normal enemy spawns that can spawn anywhere on the maps with five to ten times the resilience of super mutant behemoths).

I think Broken Steel is the most important one. I liked all of them though.

Get Operation Anchorage, The Pitt, and Broken Steel. Mothership Zeta and Point Lookout aren't that good.

broken steel is required to fix the ending
beyond that Operation Anchorage gives you some really nice items and I personally loved Point Lookout(but mostly due to one quest that comes up) The Pitt does give you a very nice set of power armor