I currently have Turbo, EGT, and oil pressure gauges in the STi (center dash pod, A-pillar gauges look tacky). I however do more racing now than I did when I installed the gauges, and I wish I would have gone with an oil temp instead. On hot days at the track I could tell my oil got a little thin with the oil pressure guague, but not by much. I really wish I had an oil temp gauge so I could get a better idea, I'd even trade out my EGT. I did switch to Motul 5w40 [from 5w30] though, and the car loves it! I just wish I knew what the temps were.
Now I'd say go turbo, oil temp and oil pressure, as the EGT and wideband are only useful in tuning, you can get a lot more info on the health of your motor with the oil temp/pressure imo.