Well, that really depends on why they would be must haves. If you mean your 5 favorite movies, that will be different for everyone. Here's some must haves for collecting/show-off reasons.

1) LOTR-EE (all 3 eventually)
2) Fifth Element
3) Anything from Criterion that you like
4) Monster's Inc.
5) Avia (or similar)

That's Avia for setup. MI and Fifth Element are for displaying colors and sound done VERY well on DVDs. Criterion and LOTR-EEs are for EVERYTHING done well on disc, including sound, picture, extras, and packaging. (except for the lack of anamorphic transfer on early Criterions)

I suppose right now a 6th would be Terminator 2, the latest version with a 1080p WM9 high definition transfer. But that can only be played on a PC so far.