I haven't had much time to look into all the different materia, but the ones I am looking to collect (as I get my smithing and armorer up high enough to attach them...), but so far these are the ones that I am looking at:
LifeThirst Materia: HP+, MP+
BloodThirst Materia: HP+
Strength Materia: Str+
Dexterity Materia: Dex+
Vitality Materia: Vit+
Ironman's Will Materia: Str+, Vit+
Swordsman's Cry Materia: Str+, Dex+
Watchman's Vigil Materia: Vit+, Dex+
Battledance Materia: Parry+
Bloodflight Materia: Evasion+
Bloodwall Materia: Def+
Manaflight Materia: Mag. Eva+
Touch of Rage Materia: Enmity+
The ones I am most impressed with are Touch of Rage, Bloodwall, and Watchman's vigil.
LifeThirst may be great once Paladin is released, but can help a little now.
Bloodthirst would be good for trying to attach a second materia, but I don't think I would attach that as a primary.
Now I just need to figure out which ones go on which parts, and which gear I am going to put it on. I am assuming it will be Cobalt Gear.