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Currently, there is mixed scientific evidence as to whether vitamin supplementation is mildly helpful or mildly harmful.
I personally take just one supplement: omega-3 in the form of fish oil. Long-chain Omega-3 lipids (the kind in fish, and not in flax seeds) have extensive research demonstrating great health benefits. I personally take about 6 grams of ultra-refined, i.e., no mercury, fish oil per day.
You can find information about the benefits of Omega-3 fish oil in quite a few studies online, and I recommend the following book, if you want just one source: The OmegaRX Zone, by Barry Sears.
Outside of the above, I suggest fine-tuning your overall diet before worrying about any supplements (unless you have specific known deficiencies).
Also, if you are considering taking any other supplements, I encourage you to spend less than the cost of a one-month supply of whatever it is, and read this book first:
Muscles, Speed, and Lies: What the Sport Supplement Industry Does Not Want Athletes or Consumers to Know