That's kind of like asking a painter what colors are best to get, isn't it?

Although you can build just about any set with any sort of color scheme (within reason) certain colors better match certain settings. White is good for hospitals, bathrooms, kitchens, etc. Blue is good for water, interiors, and the sky.

It's always nice to get a lot of neutral and earth tones (dark & light tan, brown, sand green, sand orange etc) but honestly, try and make what you can with what you have.

You don't want to get into the habit of buying something new for every film, and at the end of the day, everybody's lego collection is unique and different. Sure, we might all share some of the same sets, but we can all use them in a different and unique way - as we should.

As a general, though, I build walls around 7 - 8 (or more, if possible) high, and 20 or so bricks long. An 8 x 20 wall would mean 160 bricks. Having 160 2x4's per color is a nice starting goal. Then you can dive deeper into detailing, odd shaped rooms, exterior shots, and henceforth from there.

I'd say start with a bunch of light blueish gray 2x4's.
160 is a good number.

Light gray walls can be used for just about anything. With trim/extra bits in different colors, they work well for many kinds of environments. While white is another good choice, it tends to get a bit too bright, overwhelming and "clean." With gray, you can use props and other colors to make the set seem clean or grungy, science-y or castle, new or old. Gray even works for caves and cliffs just as well as for castles and ships. Tan is another good choice, though I see it working better for castle and wild west than sci-fi, and tan feels "dirtier" to me, limiting it's use in "cleaner" environments.

With my films, I try to establish a color scheme of two or three colors that dominates the set. Sometimes, that was chosen by THAC/BRAWL colors, but when possible, I'd choose a neutral color (tan, white, dark gray or light gray.) and a "trim color" for extras. (Anything else lying around) Personally, I shy away from brighter, more saturated colors for my walls. Bright red or yellow walls tend to distract me, though others use them without issue.

As a long term goal, I'd recommend getting a lot of basic bricks in the "neutral" colors, as you'll use those over and over again. Then, collect a few bricks and plates in the other colors. If you notice in this film, the walls are all gray in the prison, then white outside of it, but thanks to a few different bricks and plates, there are several very distinctive wall types.

If you're going to do that, try to have enough "trim" bricks to do two lines down your wall. That way you can do two stripes or a nice bottom base depending on if they are bricks or plates.

And don't forget, you can get away with much fewer bricks if you only build just what the camera will actually see.

Dyland is right, don't feel that you need to buy more Lego for each film. While I've bought a lot of Lego over the years, most of my films were about learning how to use what I already had to it's full potential. It was also learning how to overstuff Lego pick-a-brick cups, but that may not be an option for you.