So, I was given 'Sacred' which includes the free 'Plus' expansion pack and thats it. The Gold version (which I can pretty much get the cheapest here) includes the expansion 'Underworld'.
Now, I'm wondering, is it worth buying it? And if so, should I have it before I go far into the game?
Thankums!

Underworld can only be access with a character of a certain level, or by completing the main campaign. So you can continue with Plus as you wish. (just export your character and start the Underworld campaign, no issues as far as I know with save states)
It does add a ton of stuff to the game, aside from a huge new chunk of land to explore and various enemies and inhabitants, you have two new classes, Dwarf and Daemon. I believe the item number and combination/crafting is improved a bit as well, but I never had the original or plus.
Worth it if you like the game and want a little extra.

Also I believe that Gold fixes a few bugs and problems that were in Sacred Plus.

I'll chime in here, while I have yet to play Underworld, I have the Original Sacred and downloaded Plus when it came out. The original Sacred was so big that I played and played and still didn't finish it, and that was without reaching the extra stuff from Plus to my knowledge. Now that Underworld is included as well and it is only ten bucks??? To me worth it would have been if I could have just gotten Underworld for then bucks (don't raise the price though GOG staff it is just right right where it is at.). I have not only gotten this game to run on Vista and XP but I have gotten it up and running painlessly on the Windows 7 beta as well. I would have to say, if you like any of the Bioware Forgotten Realms games. Baldur's Gate series, Neverwinter Nights 1 or 2, Icewind Dale 1 or 2 and others, or if you liked the Diablo games you will most certainly like Sacred with as many expansions as you can cram into it in there. Somewhat similar to Dungeon Siege as well but without the party of characters, plays pretty well over a wireless LAN too. I haven't tried internet yet.

I did play Underworld for some time, however I got to a certain place, where the way behind me was closed, and after trying to find a way through, or someone to talk to for hours I gave up on it. I think that was a 2/3 years ago though, so I'm going to give it all another go.

the expansion pack underworld isnt that good. i was battle mage at the time level 40 and i went to underworld and it took me 3 and a half hours. its not that worth it

Underworld expansion fixes a bunch of bugs & exploits, as well as adding 2 new classes, a bunch of new weapons and items, and adds features (like the health bar on mobs t hat isn't there in Sacred Vanilla/Plus.