Very Important Updates
All Windows updates. These are essential for maintaining your computer's security. Usually, they will install by themselves, but occasionally, you have to approve them. These always appear as an icon in the lower-right corner of your screen. In Windows XP, this icon looks like a yellow shield with an exclamation point in it. In Vista and Windows 7, the icon looks like a small blue paper with a gold ring around it. Placing your mouse pointer on the icon will bring up a text bubble asking you to click to start updates.
All Adobe Updates. These (also) appear as an icon in the lower-right corner of your screen. It looks like a small "Adobe" logo. These updates are essential to insure your system security, as their products are frequently used for websites and documents, and they have had many security holes in them in the past.
Also, if you are using any version of Adobe Reader earlier than 9, you need to uninstall it and go to Adobe.com to download the latest version. All versions before 9 have serious security risks.
Any updates relating to your security applications. These are also usually done automatically without your intervention, but if you see any notices that your security application(s) need to be updated, always do what they request.
All Other Updates