Just built my first PC and am downloading the drivers for my motherboard: http://www.asus.com/Motherboards/H81M2/HelpDesk_Download/
My question: Do I need to install all the drivers in each category or just the latest ones, specifically for the BIOS?
Don't bother updating the BIOS unless you're sure a problem you're having is fixed by having a newer version.
You won't need the qualified vendors list, the Management Engine Interface, the VGA drivers (unless you're using the integrated intel card), and about 95% of the utilities and SATA stuff. You might want to grab the USB 3.0 boost from the utilities section but it's not necessary.
You only need the latest version of the rest of the drivers, so don't bother getting older versions (they're just there for compatibility and troubleshooting purposes).