I started with "On a Pale Horse." It starts off with a guy about to commit suicide when he sees "death" coming for him. He gets freaked out and instead of shooting himself he shoots "death" and then becomes "death". "Death" being one of seven major "Incarnations of Immortality", which is the name of the series. The incarnations are more like a job that people hold, until they want to retire or are stripped of it.
If you want something more science-y, The Bio of a Space Tyrant series is pretty good, too. It's set in space, of course, and follows one guy from childhood through becoming the space tyrant.
If you want a mix of science and magic, I would suggest the Adept series. These take place on two worlds, one magic, the other science.
If you like light fantasy, then try "Spell for Chameleon" which is the first book in the Xanth series. These ones are real fun to read if you like puns. This is probably his most prolific series- there are more than 20 and he comes out with a new one every 2 years or so.
I'm not sure of all the titles, because I normally check them out from the library, but there are also some concerning the early history of man. And he wrote one concerning his (fictional) view of the history of the first people in Florida. These are quite a bit longer than the rest of his works, but I like them, too.
I also liked "Shade of the tree". It is about a tree "house" that comes alive and how the people living there find out about it.
Most of his stuff, to me, is based on the fight between good and evil. (Good usually wins, but sometimes you're not sure) Oh, and in the back of his books, at least the Xanth ones, he has an author's note telling what he is up to at the time. Kind of personalizes things.