My headcanon try to bring in as much as possible without any unexplainable contradiction. As much as I love the movies, I wouldn't be as big a fan as I am today without the EU to keep bringing me new stuff. I love reading novels and comics, and playing video games. So yeah, the EU to me is very important.
I have a document in my PC where I keep a timeline of all the stories that I have read/played/watched.
Some contradictions I just ignore, others I try to work around (Weyland from AvP is the father of Peter Weyland in my headcanon for example) and if something is impossible to retcon... so only then it is not canon (Like the originial Aliens comics by Dark Horse that features Hicks and Newt). There's also Deadlist of the Species, that comic is so bad that I just can't consider it Canon. Crossovers with other characters (Batman, Superman, Tarzan, Judge Dredd, etc) also fall into the non-canon category, no matter how fun they are to read. Also, in my headcanon it's all one big connected universe (The Alien & Predator Universe).
About the Alien Director's cut... I'm still not sure which one to include.
Ah, and even a few lore from the Neca toys I consider to be canon (Like the excelent backstory for the Alpha Predator figure that nicely retcon the Hish as ancestors to the modern day Yautja).