Start in the middle and work toward the edges. Or start with the collection coming out from Ecco in November, it's a mish-mash of poems from his entire career. There was an earlier similar collection called Run With the Hunted. They are samplers. Find what you like in there and people here can point you toward other books you might like.
FIRST: THIS IS JUST MY OPINION, ALTHOUGH I TRY TO BE OBJECTIVE...:p
Poetry: If you aren't used to reading poetry, I wouldn't suggest starting from the early poetry... Maybe best to start from poems written after 1980 (War All the Time, You Get So Alone etc.) The early poems tend to be more..."poetic".
Novels: Post Office is the easiest and FASTEST of them. Factotum, Ham On Rye and Women are little bit harder to read, and Hollywood might be a little too SLOW for somebody who isn't used to reading books.
Short stories: Depends on what kind of stories you like. Maybe Hot Water Music is the place to start, and then move down to South Of No North and so on, because the early stories are a little weird. But if you like that kind of stuff, you might want to read the early stuff first.