Generally citius, grandis, fortius (grandius? eh. it fit the meter), but with some attention to history. If there is one that has all the historical engines and cars for N. America, and one with all the historical engines/cars for Europe, and one for Japan, etc. that would be ideal.
The North American Railway Set and the Japan Set are both quite popular. NARS (one of mine again!) is company-coloured while Japan Set has real-life liveries. I don't think there's a generic pan-European train set available yet, but 2cc TrainsInNML is one to watch. I think of the current European set the Dutch set is both one of the most complete and one of the most popular.
But not only that. I also want those that make your life easier. I know I had one that modified stations (altho right off I forget what it actually did), allowed multiple airports to merge to same airport, stuff like that.
Industrial stations renewal is good fun for non-passenger stations. MB's newstations is an old standard but I don't think it's available on bananas. Merging airports isn't possible in the current spec, so that may have been a patchpack you used to use rather than a NewGRF.