Dark Lord: The Rise of Darth Vader

Set immediately after Revenge of the Sith, Dark Lord: The Rise of Darth Vader gives some interesting insight into how Anakin makes the physical and psychological transformation into Vader. Psychologically, he scorns the Jedi for their weakness and inability to see what Palpatine was doing, while at the same time biding his time until Palpatine has taught him everything there is to know about Sith lore before betraying him. Physically, there's a good explanation of how difficult it is to adjust to having a largely cybernetic body, and how it forces the formerly agile and somersaulting Anakin into the ponderous, but implacable, Darth Vader (or, in other words, why the fight between Anakin & Obi-Wan at the end of Revenge of the Sith is such a dramatic departure from the fight between Vader & Obi-Wan in A New Hope). We also see some early glimpses of (future) Grand Moff Tarkin, the enslavement of the Wookies (including the apparent death of Chewbacca's family, forcing him off-world), the construction of the first Death Star, and Obi-Wan's first realization, while on Tatooine, that his former Padawan is still alive.

Apart from Vader, there's a plot concerning Roan Shryne and other Jedi who managed to survive Order 66--although some of them survive the events of the book, they haven't yet made appearances in any other canon fiction (at least according to Wookiepedia).