Before discussing a few that can help in specific sports and conditions there are a few things to remember.
Supplements do not replace proper nutrition and training. Until you have established maximum conditioning and balanced diet there is little to be gained. These nutritional supplements work to assist an already optional metabolism, not replace it.
The manufacture of supplements in not controlled like the pharmaceutical industry. Often the chosen supplement can be contaminated with banned substances. A study where 1 in 6 supplements ordered off the Internet were found to have contained traces of anabolic steroids. Enough to result in banning from competition for life. A further testing series showed that even the same supplement from the same manufacturer could vary in contamination from batch to batch.
The handful of supplements that have been found beneficial are in very specific circumstances. And the benefits are well nourished well trained athletes.
A popular supplement, creatine, has been used by many individuals, but its effect is only beneficial for small gains in the already trained athlete. It is shown to make slight improvements in sprints, especially repeated sprints. Most people who take it are not taking it for the proper reason and are unaware of the health risks.
A more recent supplement, beta alanine has also been shown to help in neutralizing the effect of lactic acid accumulation. But lactic acid accumulation is only a factor in exercise performance in one particular level of activity, which requires 1 - 4 minutes of peak performance, such as a 1500 meter run or a mid distance swim. They have no benefit in sprint events or endurance events.
These supplements can be important at the very top level of competition where the difference of a fraction of a second makes the difference of winning and losing. But not so in amateur sport. Unfortunately many amateur athletes strive to mimic the elite in their sport, and the slight benefit that they provide is not realized and not worth the cost or risk.