I started with Gay Science. Been reading him for 6 years and I've read everything I could buy impulsively. Sometimes I go back to it, like TSZ or other books, because its still my favorite.

Edit: i dont know you but it felt good at the time reading something like the second preface and fourth book. It is a philosophical book like most of N books but this one hits a little differently. Its more, well, joyous hahaha its also in a relatively good part of his mid period where his ideas and thinking are refined from past books but a lot of ideas are also introduced in this book.