Most essential is Enhanced UI:
http://forums.civfanatics.com/showthread.php?t=512263From there, I like to play with modded Civs quite a bit. My favorites are generally the ones in the workshop top lists: Colonial Legacies and JFD's work. Usually not really imabalanced andthey have some pretty neat and inventive mechanics.
I also play from time to time with Feudal Ranks (on the workshop) and Buffed AI for BNW (
http://forums.civfanatics.com/showthread.php?t=504220) , which also has some interesting spins on AI difficultly, which in turn makes liberty openers more reasonable and helps unfuck the religion game on very high difficulties. It might not be as hard as straight up Deity, but it's more fun without being boring and the difficulty curve is more smooth instead of a "hey still alive after 200 turns, all fear my beakers and despair".
edit: I also think that XCOM:EW w/ the Long War mod is perhaps the best strategy game ever made for people that REALLY love challenging games.