Which 240 volt circuits must (or should) have a neutral in new construction?
Probably not, but check the nameplates to be sure, and a neutral can be a good idea anyhow

For a dedicated circuit, the power requirements are determined not by any paragraph in Code (it's legit to have a 240V-only dryer or range/oven circuit if said appliances don't need 120V, or not have circuits for a dryer or range if they run on gas), but by the nameplate on the appliance the circuit feeds.  So, you need to check the specs on what you're putting in to be certain you're running the correct circuits for them.

However, for the common-cases of the appliances you listed, you're likely to be correct -- electric dryers and ranges generally require 120V for lamps, controls, and the drum drive on a dryer while running the heater from 240V, while the rest of the appliances in question run their controls either directly from 240V or from a Class 2 control transformer, and all the motors in them are 240V as well.  Granted, running a neutral alongside the 240V may be a good idea, even if the appliance doesn't use it, so that 120V receptacles and luminaires can be provisioned for service purposes -- this is particularly important for the well pump and compressor/outdoor unit, but may be wise for the hot water heater as well.

(P.S. the trick with the neutral is to replace the normal disconnect box with something like an 8 or 12 slot subpanel -- this lets you have circuits for lights, service receptacles, and the like to go with your well pump, compressor, or whathaveyou without having to pull a zillion wires out that way.)