For the Union, I got tickets to the Beach Party with Jaguar skills (bloody amazing), Live Wire and Pop Tarts. I ended up selling my Live Wire ticket and didn't go to Pop Tarts though. Live Wire's not incredibly popular so it never really sells out and it's basically smalltime gigs, so you love em or hate em, I wouldn't book anything for it.
I ended up buying tickets for the Endcliffe bar crawl (organized by RAG) which was really good fun and I got absolutely wasted (pennies just keep flying everywhere!), and also a ticket for Freshers Mania which was also good fun. But yeh, I wouldn't stock up too heavy on the tickets, in most likeliness the rest of your flat won't have tickets and won't be able to grab them for the rammed events e.g. Roar.
Whilst the Union is fun in the beginning, it's not the only destinations you can go to and as the semester progresses you'll find yourself going to Plug (probably very often) and Corp every now and then. Tuesday Club is also a very good shout (as well as the only thing you can really do in Sheffield on a Tuesday) if you're into dubstep/D&B.