I usually grab the first two ISOs if I need them. I believe the Debian packages are distributed in the order of popularity across the ISOs, so most common stuff should be on the first few.
If you've got a permanent net connection and you won't want a copy of the CDs for later, you can do a net install. I am at the moment doing a net install of Sarge on my main PC (21% as I speak) from the business card ISO. There's also a 100Mb ISO which contains Debian base (to get the system running) then it downloads everything else you need: http://gluck.debian.org/cdimage/test...86-netinst.iso
During the install, Debian prompts for sources - you tell it about all the CDs you've got, then you can also add an FTP source to the list so if you've got a network connection to the net (or PPP I believe) then it will download anything it can't find on your CDs via that.