Starting with the verdict: the core sequences are essential for general thinking, and for the rest, it depends on your goals.
But before I begin explaining anything directly, I must tell you that the Less Wrong Sequences are not cut-and-dry, distinguishable units, as though you just read one and finish it and then move onto another. They are highly interdependent, flowing into each other naturally, and with an actual majority of posts having complicated prerequisite chains. I found it beneficial to read them in chronological order, by post date. I strongly recommend this approach above any other. (One way to read them chronologically is to start at the first post, "The Martial Art of Rationality", and use the Article Navigation section at the bottom of the Less Wrong posts. This was unavailable when the articles were still on Overcoming Bias.) Now then...
The "Core Sequences" (http://wiki.lesswrong.com/wiki/S...) are indeed important. It is hard for me to say that any of these are anything other than "must-read".
Map and Territory establishes a realist philosophy. Starting with a simple, "naive" Aristotelian view of what truth actually is, it follows with the well-hammered-in idea that your mind is not a Generator of Truths. What you think is reality and what reality is are different. These are themes that reappear in every sequence, so if you plan on reading any of them at all, this is the one to read. It is also very short and not difficult at all, so it's one to read if you want to test your ability to enjoy the author's style.
Mysterious Answers to Mysterious Questions is a very, very long series of posts dedicated to smashing the idea that there is such a thing as "inherent" mysteriousness. This idea, and the mind-projection fallacy, are many of the causes of useless answers to important questions that people will stop at nothing to trick themselves into thinking. It is hard to say how important this sequence is for anyone wanting to tackle hard questions, as some questions are merely cognitive errors that make no sense at all.
How to Actually Change Your Mind is, according to the Less Wrong wiki, the most important lesson the site has to teach. I don't actually agree with that, but I'll deal with that in a bit. This sequence is important because people vastly overestimate their ability to change their minds about anything. People make enduring beliefs with scant or zero evidence and cling to them like glue. The important thing to recognize is that we all do this, so if we think we don't do it, we will fail. Knowing the techniques will help, but will not solve the problem entirely. The subsequences are individually important for their own reasons as well. Once again, it's hard to say why they're so good without repeating much of the material. This makes them their own justification. The one unifying theme is that learning to (actually) change your mind will change you. As the saying on Less Wrong goes, not every change is an improvement, but every improvement is necessarily a change.
The reductionism sequence is huge and cannot properly be considered "one" sequence because it incorporates lessons from all the other sequences and includes other sequences, which I'll cover two paragraphs from now.
If you ask me which series of posts was most important, I'd say A Human's Guide to Words, or 37 Ways Words Can Be Wrong. This sequence teaches about the frailty of language and the pointlessness of disputes arising around the way people use words. The impossible one-sentence summary is that if you can find a way to communicate, you win, and you shouldn't let words get in the way of discussion. It's fantastic for explaining how to avoid the most common pitfalls, as well. I don't know how hard it is to understand without reading previous sequences, but I'll tell you this is the one I recommend most, by far, if you talk to people about things.
But the Sequences can also answer more specific requests. If you want to know where identity is, or why smart scientists seem so confused about fundamentals, or whether you're still yourself after being uploaded into a computer, or you want to know the simple, comprehensible arguments put forth for the Many-Worlds Interpretation of quantum mechanics, the Quantum Physics Sequence is your friend. It is not a textbook introduction to quantum physics; it teaches you how to understand what's going on, not the difficult math of what's going on.
The Zombies Sequence refutes a common dualistic failure mode of intelligent philosophers like David Chalmers. (You'll find that a lot of the sequences are about how not to use intelligence to defeat itself.)
And maybe you've got a Difficult Problem. There's a sequence for that, you know. Tied in with lessons from previous sequences (of course), Challenging the Difficult makes clear the modes of thinking required for solving difficult problems. These themes are expanded in the Coming of Age sequence, and both cover many failure modes of seeking to solve a problem.
If you're depressed or going through an existential crisis, Joy in the Merely Real and Luke Muehlhauser's The Science of Winning at Life may be able to help you.
I cannot, in good faith, call any of the sequences unimportant, except perhaps the ones about metaethics. (If you're not an Friendly Artificial General Intelligence, I can't think they matter much to you, unless you've already worked out your own dogmatic theory of metaethics, in which case you are already doomed.)
I should note that the Sequences are rather horribly organized, and it's a wonder that anyone in the world is able to read them in any order except chronologically. This is no secret, as the author had terrible work-ethic problems and just wanted to get the material out there. Nonetheless, it is good material, and it'd be a mistake to wait until it got put into a more digestible format. Don't be afraid of math when you go in, either. It's easier than it looks.