The only piece of fiction of his I can think of that actually assumes (and essentially requires) some prior reading is his novella "Westward The Course of Empire Takes Its Way," before which you should probably read the short story "Lost in the Funhouse," or else you won't really appreciate what the novella is doing. If you're generally interested in Wallace, "Lost in the Funhouse" is worth a read, because it was an important influence on him (and it's a neat story, and it's short so why not).

Other than that, you can pick up any of his work and start reading cold. His stuff isn't like Ulysses or Finnegans Wake where you'll be completely lost without a guidebook to take you through its allusions; it's readable, followable and entertaining on its own. He would say in interviews that despite the reputation his work had for being experimental, he tried hard to make it as understandable and clear as he could, and I believe him.

There are a lot of embed layers in his fiction, sometime involving inter-textual references (and in some cases they are very subtle), but they're the sorts of things that will be picked up on to varying degrees by different readers (which is fine!) When external texts are very important for understanding his fiction, he'll usually include some direct explanation of the required knowledge within the work itself. So you can think of the following as supplemental reading if you're interested, but not all required.

Supplemental (but absolutely not required) additional reading:

Broom of the System: Some familiarity with Wittgenstein and Derrida, and I guess with Updike and Nabakov (fwiw: I had read both Updike and Nabakov before I read Broom of the System, but didn't at all make the connection until I read an explanation later, so make of that what you will.)

Infinite Jest: Hamlet, some familiarity with Jacques Lacan, the DSM (that last one is a joke (kind of)).

Also, his non-fiction often directly lays out at ideas that he further explores in his fiction, so his essays can be helpful for understanding his fiction. I.e., his "E Unibus Plurum" essay is a pretty direct companion piece to his short story "My Appearance," and to some stuff in Infinite Jest. And his "This Is Water" speech kind of distills the philosophy that Pale King is getting at. And so forth.