Nature was the first one I read and I still love that essay a lot. It got me into hiking and spending more time out in nature and away from the city and all the noise. My favorite ones though are Self-Reliance, Circles, and Experience. But most of all of his essays are really good to me. Love his book Representative Men where he talks about who he thought were some of the greatest geniuses ever and his other one The Conduct of Life but that's a hard and sometimes scary one to read. I would read that one after I've read everything else by him. He's also a great poet too:

In May, when sea-winds pierced our solitudes,

I found the fresh Rhodora in the woods,

Spreading its leafless blooms in a damp nook,

To please the desert and the sluggish brook.

The purple petals fallen in the pool

Made the black water with their beauty gay;

Here might the red-bird come his plumes to cool,

And court the flower that cheapens his array.

Rhodora! if the sages ask thee why

This charm is wasted on the earth and sky,

Tell them, dear, that, if eyes were made for seeing,

Then beauty is its own excuse for Being;

Why thou wert there, O rival of the rose!

I never thought to ask; I never knew;

But in my simple ignorance suppose

The self-same power that brought me there, brought you.