HiTechnic sells some pretty nice sensors, but I'd like to point out that there are a couple other very popular companies that sell NXT sensors as well. Dexter Industries
both have a very nice selection of sensors, and other NXT devices.
The sensor(s) you will benefit from most, depends heavily on what you want to build.
If you want to build a self balancing robot (like a segway), then you will need a gyro. HiTechnic sells a gyro for $55, and Dexter Industries sells a 6DOF IMU for $65. I would definitely go with the dIMU (Dexter Industries IMU), as it is a 3 axis gyro (with 16 bit resolution!) as well as a 3 axis accelerometer. The HiTechnic Gyro is only 1 axis, and it's analog (only 10 bit resolution).
If you want to do a lot of RC stuff, then I highly recommend the mindsensors PSP-Nx. It's an interface so that you can use a PlayStation 2 controller with the NXT.
There are so many choices, so you need to think about what type of ROBOTs you want to make.