One of them lets you get to level 30 instead of level 20 so if you see yourself playing it for a while you should probably get that one. Not sure which one it was though.
Anchorage sucks. It takes like an hour and it's basically just shoot anything that moves.
The Pitt is alright, but there's a bunch of bugs and it's pretty short and kinda shallow.
Broken Steel is awesome. It bumps up the level cap to 30 and adds some tougher enemies as well as a medium sized quest and a bunch of small changes all over.
Point Lookout is also really good but you'll need Broken Steel otherwise the enemies are ridiculous tough. It's got a really nice atmosphere too.
Mothership Zeta is coming at the end of the month too.
anchorage, the pitt, and point lookout are less expansive DLC, and really only unlock small regions that can be explored (in the case of operation anchorage, it can only be explored once per play-through)