Gauges? Who has time to look at those? All I have time for is lights - red for things gone bad, many red, yellow and green blinking to tell me it's time to shift (either that or Christmas is here, turn the car off and go inside, the family's waiting for you
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OK, seriously now... certainly oil pressure light. I also have found the ammeter warning light to be useful - came on immediately one day when my alternator/waterpump belt went flying, allowing me to notice and catch this before it cooked the motor, in spite of being in heavy traffic (as it was right after the start of the race).
I do far prefer my shift lights (actually part of my data system, but you can get inexpensive standalone ones) to a tach, less consumption of brainpower while on track, more power left to focus on lines and ref points.
After that, oil pressure, water temp, oil temp, batt voltage. Never find my fuel gauge to be worth much except when I'm parked in the paddock. Maybe I'm just never going straight long enough.
Personally, I far prefer keeping the stock electrical gauges - but of course my car came with VDO gauges, and I'd feel differently if I were starting with different stuff...