Obviously START_PRINT and END_PRINT are like the core, most-used macros. Examples of those and some others can be found in the sample-macros.cfg in the Klipper docs. I made a guide that works with those sample macros and shows you how to configure your slicer to use them properly. You don't want to use mine, they are pretty bloated.
I think M600 for filament changes is another common one, though it's also one that's difficult to design "for everyone" A good start is the simple_m600.cfg here in my extras folder.
LAZY_HOME is another convenient one, mostly to use in other macros, it checks if the printer is already homed and only homes it if necessary. My LAZY_HOME.cfg file also contains an alias so HOME_IF_NEEDED will do the same thing.
TEST_SPEED.cfg is a great tool for testing your speed/acceleration settings. See AndrewEllis93's Print Tuning Guide
I use mech_gantry_cal.cfg a lot, but that only applies if you use dual z steppers and dual z drivers. This macro will bump the gantry against the z_max to straighten it against the frame and eliminate any drift between the drivers.
HEAT_SOAK.cfg heats the bed up to a configurable temperature for a configurable time in order to "heat soak" the enclosure. The trick to this macro is it uses delayed_gcode on a loop so you can do other things while it's running, including canceling it at any time.
PUBLISH_ALERT.cfg Sends data over MQTT. Your MQTT broker must be configured in moonraker.
GCODE_TTS.cfg works with the the gcode_shell_command extension to play audio files or text-to-speech over the pi's headphone/speaker jack.
print_area_bed_mesh.cfg allows you to perform a mesh before the print, but only mesh the area of the bed that is actually being used. So a smaller model will only mesh a small part of the bed. See the Github page for that
There's a handful of macros that cover Marlin functions that either don't exist or work differently in Klipper. None of these are necessary, and they may cause problems if you don't know what you are doing.
M420.cfg Load bed mesh
M900.cfg Marlin linear advance command (sets pressure advance)
M17.cfg Supports disabling individual steppers
M204.cfg Sets acceleration values
M205.cfg Marlin "jerk" sets square_corner_velocity
stealthburner.cfg and neopixel.cfg in the machine folder manage the LED animations (through the led_effect extension) and a bunch of STATUS macros that set the LED effects based on the printer status.
chamber.cfg similarly configures some display overrides as well as containing the macros necessary to support the Marlin chamber temp commands.
fans.cfg is just a bunch of easy-to-remember macros for controlling my fans.
WLED.cfg similarly is a set of macros for controlling WLED strips configured in moonraker.
heater_overrides.cfg changes the way the M109/M190 commands work so there's less waiting for it to stabilize or starting a few degrees before it reaches the target.
BEEPER.cfg has M300 to control the beeper, including shifting pitch for tunes.
tunes.cfg This is just a collection of beeper tunes that can be used with the M300 command and a beeper configured in Klipper.
SET_MATERIAL.cfg is a little kit that will let you set things like z_offset or pressure advance based on the filament type chosen in the slicer.
SET_IDLER.cfg is a little macro I put together to let you configure the idle_timeout time and behavior. You can choose what components are turned off by the timeout, any combination of extruder, bed, chamber, steppers, or printer power.
ZIPPY_STATS.cfg was mostly just a fun experiment, but it's kind of cool if you like data. Home the printer and then run GET_POSITION_STATS to have it spit out a crazy amount of position data.
If you are into sensorless homing, I made a pretty cool set of macros that overrides the homing code to let you customize the heck out of the homing process and do things like reduce/raise the stepper current during homing and set the homing speed/acceleration/etc, set the speed/distance of the z-hop that occurs pre-homing. Basically everything you could possible want to configure about homing is configurable. Use the sensorless_homing_override.cfg file in the extras folder.
Another one that I personally use a lot (and am kinda proud of) is my CONFIG_SAVER.cfg project. This one is still a little rough around the edges, but I am using it on my production machine as we speak. Essentially what it does is add a macro called SAVE_AND_RESTART. This macro will check for a pending SAVE_CONFIG and if there is one it will execute it. The idea is that you don't have to remember to run SAVE_CONFIG after a long print to save the mesh or the z_offset, etc.
I then built in some extra features like checking the z_offset in the config and not saving if the pending value is the same as the config. I also added filters so you can save SAVE_AND_RESTART FILTER=z_offset and it will only save if the z_offset is pending. This way you can dump meshes if you don't want to save them and only SAVE_CONFIG for z_offset changes. I also added a SAVE_AND_SHUTDOWN option that works essentially the same way, but after restarting to SAVE_CONFIG it will execute a POWEROFF command to shutdown the printer. That way you don't have to wait for the idle_timeout to shut down after restarting to SAVE_CONFIG.
In short, this an automated config saver.
FILAMENT_RUNOUT.cfg contains some macros for working with the filament sensor. There's a FILAMENT_RUNOUT command which just adds some status updates to the M600 command. And macros to enable/disable the filament sensor and a delayed_gcode to disable the filament sensor on a timer. These make it easier to programmatically disable/enable the sensor.
PARKING.cfg I love this one because it's so simple but so useful. This just is a collection of small macros that park the nozzle at various positions. All the positions are calculated use position_min and/or position_max so they will work on any printer/bed-size.
GET_PROBE_LIMITS.cfg is useful when first configuring your bed mesh settings as it gives you the probe-offset values for the min/max/current nozzle positions.
ADXL_SHAPER.cfg runs all the resonance tuning commands for you, generates the graphs and saves the recommended shaper values to the config automatically. This requires the gcode_shell_command extension installable through KIAUH.
TARGET_FAN.cfg is a little macro to turn on bed fans if the bed's target temperature is above a certain value. Useful if you want to circulate the heat, but only if it's set above a certain level.
TEST_RESONANCES.cfg I don't know if this one counts, but it's a useful example if you are looking to do something similar. Essentially what it does is override the TEST_RESONANCES command to set my LEDs to the "vibrating" mode, run the normal TEST_RESONANCES command, and then set my LEDs back to their "idle" mode. Any parameters given to the overridden TEST_RESONANCES command will be passed along to the original one.