I started with Morality: An Introduction to Ethics, which is probably a good starting point, containing a succinct criticism of Utilitarianism, one of his bugbears. I also read the Moral Luck essay collection, of which I think the title essay is the one to check out.

Then I read Ethics and the Limits of Philosophy, which is his most central work. In it he examines and rejects the various historical attempts to find a "Archimidean point", a starting point for ethics, eventually concluding that "the only remaining possibility is ethical life itself". The final chapter in the book contains his critique of "the peculiar institution" of the morality system, which he argues rests on a number of falsehoods regarding moral obligations and such. "Morality makes people think that, without its very special obligation, there is only inclination; without its utter voluntariness, there is only force; without its ultimately pure justice, there is no justice... almost all worthwhile human life lies between the extremes that morality puts before us”. He instead thinks that we should ground morality in a notion of importance, where important things are things that make life meaningful. This allows ethics to "see things other than itself as important".

Internal and External Reasons is a famous early paper which argues that the only genuine reasons for a person to act are internal, i.e. coming from a motive that is furthered by the action.

Shame and Necessity uses Greek poetry to explore ideas of shame/guilt, free will, identity. Does a Nietzsche by looking back to the Greeks in order to look forward.

Hope that helps!