I've been downloading different custom maps off the site. I know the BSP files are requred but some of these maps come with extra files. To avoid some confusion I like renaming the maps to sp_custom_xx
but I don't want to break anything.
What about the VMF file? Or the VMX? Etc?

VMF files are not playable maps. They are the map source, and they are mostly only in the contest entries as part of the contest rules. VMX files are backups of VMFs, I don't know why anyone would be uploading those.

I think for maps that dont have any custom content (new models, textures, etc) only needs the VMF and BSP files. Those that do have custom content need to stick their custom stuff in folders within the zip folder.