[Update]

Starting with Rollup 4 you get them all cummulative.

TMG SP2 can be applied for TMG SP1 with Update 1 and covers all too.

http://www.microsoft.com/download/en/details.aspx?id=27603

[…]

Be aware, that rollups for Forefront TMG 2010 SP1 are not cummulative. So you need to install every rollup after the other in right order.

Installing Forefront TMG SP1   http://technet.microsoft.com/en-us/library/ff717843.aspx#fixsqlserverlogin_vbs      

Software Update 1 for Microsoft Forefront Threat Management Gateway (TMG) 2010 Service Pack 1 

http://www.microsoft.com/downloads/en/details.aspx?FamilyID=695d0709-0d8b-45ee-afdb-727c4428ca4d 

Software Update 1 Rollup 1 for Forefront Threat Management Gateway (TMG) 2010 Service Pack 1   http://support.microsoft.com/kb/2433623/ 
Software Update 1 Rollup 2 for Forefront Threat Management Gateway (TMG) 2010 Service Pack 1   http://support.microsoft.com/kb/2475183 
Software Update 1 Rollup 3 for Forefront Threat Management Gateway (TMG) 2010 Service Pack 1   http://support.microsoft.com/kb/2498770