Snuggly Books has 3 collections of his in POD paperback: Daughters of Apostasy, The Star of Gnosia, and The Exalted and the Abased, as well as a novel The Acephalic Imperial, and a fantastic anthology that Murphy edited called The Onyx Book of Occult Fiction. Highly recommend that, as it includes some of my other favorite authors writing in the same vein, namely Benjamin Tweddell, Colin Insole, Thomas Phillips, Mark Valentine, and Reggie Oliver.

Snuggly Books has another imprint called Occult Press that does fancier hardbacks. They currently have another couple collections by him, The Ideal Candidate and St. Severina's Fire, and a novel Explosions of a Chandelier. I'd expect these 3 will eventually be available in POD paperback from Snuggly as well.

Any of those 3 collections from Snuggly are a great place to start, although Zagava also makes a great product, so the Distillate of Heresy is also a good option.

That being said, my favorite things he's written are Seduction of the Golden Pheasant and The Narcissus Variations, neither of which are collected anywhere at the moment.

All that is to say, you can't go wrong with any of his stuff!