I would think you would need them all sizes, from systray sized 16x16 to extra large 256x256 to be able to use them throughout Windows.
NeXus uses 16x up to 128x so those are going to be needed for sure.
Not sure about 8 bit but you can see in Icon Developer that 8 bit and 4 bit degrade the quality so I wouldn't use them if I didn't have to.