After getting some of those new Dye 07 Slide Shorts (linked further up the page) I wouldn't want to go back, they are suburb. They give your hips lots of support, the padding really makes a difference when diving around and helps take any pain out of shots as well. It also has some nice padding for the old crown jewels
as we all know how painful it can be to take a hit there.
Knee pads are a must really, unless you have some really padded playing pants. Protect your knee's and often your leg from some quite nasty injuries and help give the whole area support.
Arm pads are good for every player on the field, not just the ones with there faces in the mud at the front. Not only do they help protect your elbows from injury when diving around, but also promote lots of bounces from a very large area of your arm.
In terms of priority, personally I would get knee pads first, followed by arm pads and finally slide shorts. Of course this is all dependant on your budget
Hope this helps.
J