I was actually wondering this same thing recently. I checked on Amazon and it looks like buying ALL the expansions at once would run me about 216$. It doesn't completely break my budget, but it's probably best to start small.
If one were looking at buying 2 or 3 expansions to play simultaneously, what are some good pairings?
Miskatonic Horror is a must when playing with other expansions. The material in MH supplements other expansions.
Otherwise I like King In Yellow paired with either Dunwich Horror or Innsmouth Horror. Black Goat of the Woods would also play well with either DH or IH.