I get totally excited about plug-ins, and I feel I have a nice collection. My way of working has been like this:
Go through a project and just see how you can manage on just the DAW alone. Try to get the recording as good as possible, obviously, but within your budget, figure out where you've exhausted all efforts with what you have. Then start shopping around TRYING everything you can get your hands on, FREE or Super-Expensive. Once you find one that does what you need, buy it.
Where 3rd-Party comes in would be for examples like Waves, where lots of work has been done, not only to model specific types of gear, but specific gear owned and used successfully by specific engineers. I wait for deals, though, because they're pretty darn expensive. Plus, you can use 3rd-party with other DAW's in most cases.
Then, there's my experience with two EQ's, that surprised me as well: I have the Algorithmix PEQ Red Linear-Phase EQ, by recommendation of Bob Katz, and others who have claimed this is the best EQ Plug-In on the market. It's REALLY good, btw! Unfortunately, Algorithmix is stuck in 32-bit, and I despise bit-bridging, so, I shopped for an alternative. I found DMG Audio's EQuality and EQuick, both in 64-bit, and can do Linear-Phase (among others). After using this $120 EQ for a year, I'm no longer begging and pleading Algorithmix to get their PEQ Red to 64-Bit.
Use what you can, but when you're shopping, try everything you can, and read up on reviews good and bad. Learn the features of each (Sonalksys has a very interesting Dynamic EQ, for example). It's up to you what you like, and Sonar has some great plug-ins, so don't sell them short, but don't feel you have to stick to included or third/party. That's the thing that excites me the most!