The Basics
For starters there is the Quick Start manual.If you don't deal with the PLCs or RSLogix 5000 too much and just need a quick reminder about the hardware or programming then the System Reference is perfect.
The Essentials
If you are getting into programming and designing a system then you'll want to start off with the Common Procedure Manual. It has a lot of helpful examples dealing with all aspects of the system.Next comes the nitty gritty of each instruction. It's a good idea to at least peruse all the instructions so you have an idea of what is available.
An often overlooked manual but filled with great information for getting the most out your designs is the Design Considerations Reference Manual. Certainly a must read if you are knee deep in the development and programming of Allen Bradley PLCs.
Hardware Specifics
Specifics for the hardware can be found in the User Manuals and Installation Instructions for the PLC.ControlLogix
CompactLogix
FlexLogix
SoftLogix
GuardLogix
Networking
If you are deciding on which network to use then see the Design Considerations manual and the section "Determine the Appropriate Network". Otherwise, for existing networks the following are helpful.Ethernet/IP
ControlNet
DeviceNet
The links are from the AB site so they are the latest and greatest manuals. Let me know if any of them are broken or if I forgot one you think is essential.