Drupal ships with a lot of necessary modules like Blog, Forum, Taxonomy, Poll, Locale …
They do most necessary tasks when building a website. But some modules I frequently need are provided by third parties.

Here is my list of five important third-party modules when building a site with drupal:

• CCK - The Content Construction Kit allows you create and customize UI fields that can be added to any content types (Example: When building a song review database you could add a field like "Best top-ten rating" to your song-review content type.).
• Views - The views module provides a flexible method to control how lists of content (nodes) are presented. It is essentially a smart query builder that, given enough information, can build the proper query, execute it, and display the results - including but not limited to CCK fields (Example: Create a node that displays song title and best top-ten rating).
• Google Analytics - sophisticated integration of google's urchin tracker code for your drupal site.
• Google AdSense - Very good integration of Google AdSense for drupal. Allows grouping by ad format and utilization of Google's ad channels.
• Meta Tags - Even if Google ignores meta, it might be important once. At least there's no harm. This module allows you to set some meta tags for each node, view or panels page.

Other webmasters, other opinions, so here are some links to several drupal module top lists:
Troy Schneider's top ten
Daan's list of used drupal modules
A SEO view on modules from fiLi
And 5 musts from Keith's marketing perspective