Personally, I like the Sacred Pool and Frostmarch most of the small expansions the most (and advise using both together), but the Blood Moon is pretty good. (Reaper is great, but the others add more). Of the large sets, I'd play with the Dragon most, then Dungeon and finally Highlands. I'm hoping the City expansion makes the Highlands better.
LARGE SETS:
Each of the large sets has a new board: the Dungeon and Highlands fit around the edge of the board and are accessed from the outer region. The Dragon set replaces the entire centre region. They tend to not have a lot of new Adventure cards, instead having cards for their own boards.
The Dungeon - adds an extremely difficult board, but a lot of fun. It provides an alternative way of getting to the Crown.
New Characters: Gladiator, Swashbuckler, Amazon, Philosopher, Gypsy
The Highlands - the extra board is rather dull, unfortunately. It's a place for low-level threats and gold, but there's not enough to do with gold. The reward for reaching the centre of the board isn't worth it, IMO.
New Characters: Valkyrie, Highlander, Sprite, Rogue, Vampiress, Alchemist
Alternative Endings: Hand of Doom (very random and silly end-game); Battle Royale (once someone reaches the Crown, everyone with a Talisman fights for victory); Eagle King (defeat Eagle King at Crown or be placed at Crags).
The Dragon - adds two new end-game boards, and new challenges throughout the game. This one adds a lot more shape to the game, as a Dragon King sends a lot of challenges out onto the normal board to fight: the more you defeat, the easier the end-game is.
Alternative Endings: Dragon Slayers (defeat three Dragon Lords to win), Domain of Dragons (defeat the Dragon King; some Adventure Cards get replaced by other Dragon challenges), Dragon King (defeat the Dragon King, more standard set-up),
Characters: Dragon Rider, Dragon Priestess, Minotaur, Dragon Hunter, Conjurer, Fire Wizard
SMALL SETS:
Each of the small sets adds new Characters, Adventure Cards and Spells, in addition to some 'hook' of their own. Each of them after the first (The Reaper) add alternative ending cards to allow other ways to win the game.
The Reaper - adds a "Reaper" figure which you move when you roll a "1" for your own move. Landing on another character might cause them to die utterly, lose a life, or gain a boon. Otherwise adds a lot of new spells and adventure cards.
New Characters: Knight, Sage, Dark Cultist, Merchant
The Sacred Pool - Adds "Quest Reward" cards which allow different rewards than just the Talisman at the Warlock's Cave. Also highly recommended.
Alternative Endings: Sacred Pool (first to reach Crown with 4 Quest Rewards wins), Demon Lord (kill Craft 12 Demon to win), Judgement Day (players "judge" if you're worthy to win).
New Characters: Chivalric Knight, Magus, Cleric, Dread Knight.
The Frostmarch - Adds "Warlock Quest" cards which allow different quests at the Warlock's Cave. I highly recommend these.
Alternative Endings: Ice Queen (defeat Ice Queen on Crown with Strength or Craft), Crown and Sceptre (enhanced original game: no healing/life gain for remainder of game); Warlock Quests (first to reach the Crown with 4 completed Warlock Quests wins).
New Characters: Necromancer, Warlock, Leprechaun, Ogre Chieftain
The Blood Moon - Adds a "Werewolf" figure (like the Reaper) which prowls around infecting people with lycanthropy. Also adds a day/night cycle (monsters scarier at night).
Alternative Endings: Lightbearers (co-operative version where racing a clock), Horrible Black Void (hidden; first to Crown loses!), Blood Moon Werewolf (Defeat the Werewolf at the Crown),
New Characters: Grave Robber, Doomsayer, Vampire Hunter.
Cheers!