It really depends on what you want to monitor.
Many agree that oil pressure and water temp would be "critical" information. Vacuum gauge would be the most active, and could aid in monitoring fuel economy and also identifying engine trouble.
Also keep in mind that there's 2 types of gauges: electrical and mechanical. Electrical gauges use a sending unit at the source and convert it to electrical current which moves the needle. Mechanical gauges are plumbed into the engine directly. In the case of an oil pressure gauge, a nylon oil line is attached to the engine and the line gets pressurized by the oil pump and sends the pressurized oil to the gauge.
For a mechanical water temp gauge, a metal tube is filled with ether. one end is permanently attached to the gauge, the other end is capped off with a probe that gets plumbed into the engine's cooling system. When the coolant temperature rises, the ether in the line gets pressurized, moving the needle on the gauge.
For many types of sanctioned racing, mechanical gauges are prohibited for safety reasons. Just imagine your grief when your oil line breaks inside the cabin! Another consideration to think about.