What cards are must-haves in Yu-Gi-Oh side decks?
It depends heavily on the current meta. (This post is going to be outdated by the next ban list. I may or may not update it then.)
You’re going to want cards that counter the decks you’re most likely to see. In locals, it’ll depend on you, but in higher events, you’re going to duel mostly meta decks. Current meta is Kozmo, Monarchs, and PK Fire. People usually side System Down and/or Chimeratech Fortress Dragon (use with Cyber Dragon, Core, or Drei) for Kozmos, Mask of Restrict for Monarchs, and Ghost Reaper (use with Dante) for PK Fire. If pendulums ever climb back to the top, start siding Anti-Spell Fragrance.
It also depends on your deck’s weaknesses. If you have a weak Kozmo matchup, focus on siding for that. If your deck gets wrecked by backrow, side Twin Twisters. Some really good generic choices now are Rippling Mirror Force, Solemn Strike, Magic Deflector, Effect Veiler, and Maxx C.