Well, that's not easy to say without knowing which army your playing.
But I think I can say one thing: In comparison to Warhammer Fantasy there is no game-winning unit that's a must have.

(Although some say that in Warmaster cavalry is quite mighty - but my experience says that just taking lot of cavalry still does'nt win you the game).
There
are units that are quite tough (Stegadon, Dragon Ogres, Dragon Riders) but on the other hand they are so expensive pointwise that some of them you will not even see too often in battle.
When building an army of your own you should be aware of the Minimums and Maximums that come with the army list. I for my part bought three flame cannons when I began with my empire army not realising that at 2000pts you are only allowed to field two of them (I never painted the third one until today

)! I also would buy all the Minimum units I would need for a 2k army.
And there are a few units that are not too useful because they are a bit too expensive pointswise. For example you won't see Steamtanks in battle too often, Dragon Ogres too, the Chaos Spawn is a very shy creature in the Warmaster-World as well as Dragon Riders.
But besides that the rest is your choice alone. Some players try to play shooty, defensive armies, some other try to be fast-moving and aggressive, some go for high breakpoint while others prefer high quality armies - whatever you like (of course you cannot play all styles with all armies).
I would recommend you look onto the Brumbaer's Site as you'll find an army generator you can download for free there. You can play around to see what army list seems good to you. Then you could put the army list up here again and collect our 2 cents

.
Greetings,
Gerald