I'd always run:
oil pressure - so you can see when it's dead
water temp - because things go wrong and can kill your motor
oil temp - will help you understand if your sessions are too long, or if you need more cooling
voltage - very helpful to spot niggling issues or to tell you if your alternator dies or the belt has been lost
fuel pressure - because anything going wrong here makes it go bang. Also good for troubleshooting (eg dead pump, stuffed reg, wrong base pressure, running out of fuel at high revs, tank empty)
Don't bother with
AFR - you'll never get to check it when the action is happening. Only useful for tuning, and every dyno has one anyway
boost - unless it is a peak gauge like on a lot of boost controller, you will never see what the boost is while you are driving - it all happens too fast.
exhaust temp - useless in every way. unless you have 6 of them and you are on a dyno.
Best thing by far is to run a dash and logger, seems expensive up front but yout get so much more for your money. Plus you do it once