You’ll want an oscillator early on, because that’s something you can hear. But VCOs tend to be among the more complicated modules, so not necessarily the best thing to build first.
Partly it depends on your level of experience — if you’ve built other electronics projects before a VCO may be a fine starting point, if you’ve built little or none then maybe a simpler module would be better. Or even a non module, like a simple Atari Punk Console which is easy to build and does produce interesting sounds.
Otherwise the simplest modules tend to be the least interesting — mixers, buffered multiples, etc.
The ones you’ll want to have early on I’d say are a VCO, a VCF, a VCA, a noise source, an LFO, and an envelope generator. See here for definitions and descriptions. As for which specific ones, again it depends on multiple factors. Do you want to build in Kosmo or Eurorack or other format? Do you want to build from kits that include PCBs and panels and parts, or PCB and panel sets you need to get parts for, or do you want to use and/or create PCB designs you can get fabricated, or ones you can etch and drill yourself, or do you want to build on stripboard or protoboard with homemade panels? That’s roughly most to least expensive, and roughly easiest to hardest. Roughly.
You’ll also need to buy or make a case and a power supply.