The first work of Philosophy I slogged through was Nietzsche's Beyond Good and Evil, in a standalone edition translated by Kaufman. I suppose that is as good a place to start as any. The most important thing that this volume highlights is how easily anything Niezsche said can be so easily taken out of context and abused by anyone who so chooses. For example, his "blond beast" is quite literally a lion, and not an Aryan Superman.
Work by work analysis:
The Birth of Tragedy -- Only attempt this as your first Nietzsche book if you already have a good understanding of how Greek Tragedy works. At the very least, you should have read Aeschylus' Prometheus Bound, Sophocles' Theban Plays, some Euripides, Aristophanes' The Clouds, Plato's Apology, and if possible, Aristotle's Poetics. Also, as Kaufman makes clear, the last ten sections, about Wagner, should be taken with a shakerful of salt.
The Aphorisms -- It is very easy to take these gems especially out of context. However tempting it is to browse them for a few good quotes, I strongly urge you against it. They are, however, very helpful when Nietzsche refers to them.
Beyond Good and Evil -- This is as good a place as any to start your exploration of Nietzsche. The problem is, even though it is supposed to be a more straightforward approach at communicating the message found in Zarathustra, this is still written very pithily. The prose is very joyful, poetic, and requires thought. Then again, if you weren't willing to commit some thought to Nietzsche, then it's not worth picking up Nietzsche.
On The Geneology of Morals -- A sequel to BG&E. I don't suggest starting here. The prose is more straightforward than BG&E, he is attemting polemic in essay form. Yet still, it is still a voice in your head, consipring with you, coaxing you toward understanding. Here, the prose style of BG&E becomes apparent.
The Case of Wagner -- This is a good shakerful of thought to take the last ten sections of Birth of Tragedy. In fact, this is a good shakerful of thought to take all of Nietzsche's work. I read this with only the very barest background on Wagner, that is I've heard one Aria from The Ring (Three minutes of Brunhilde), The Flight of the Valkeries (I still see tanks), and I know somewhere, Vahalla burns down. Still, the work makes sense. Stylistically, this work is absolutely amazing. It's very relaxed and informal, again, conversational. Nietzsche doesn't even sound angry, but just wants to clear the air a litte, almost naively.
Ecce Homo -- This would seem like a very pretentious work. It is not. He comes off almost modestly here. This too, clears the air of all that is rotten about what has been said about him. It is as if he had guessed what evil things would be said about him.
Oh yes, and if it seems like I wrote this assuming that you already ordered the work, I have.