The cover is definitely important, and I agree with the person above about how much of a personal preference it is. I had Apple's microfiber iPad 1 case and I hated it because of how clunky it was. Others love it. I personally want the bare minimum required to protect it from scratches and whatnot, because I don't like giving up functionality (personal opinion - some may not find it unnoticeable). I really like the Smart Cover for that reason. However, I am looking for something very thin and un-annoying to cover the back of it, because I had the Zagg case for my last iPad and the back got pretty scratched.
Other than that, there are no "must haves". I think the A/V HDMI connector is cool, because I want to be able to store movies on my tablet and, if I'm at someone else's house, play a movie through their TV. I've been in many situations where I have a movie that people want to watch, but they have no way to get it on their TV without a major hassle. A car charger is really unnecessary because of the battery life. The camera connection kit can be useful.