(Admittedly, this advice is contrary to what most people say on the subject - Kevin Troy's answer has the standard advice covered very nicely - but I'll give my answer nonetheless. If it's not useful to you you'll be no worse off, but on the off chance it is, well, here you go:)

My advice would be to start with Gravity's Rainbow. Why? Because it's the one people talk about in hushed tones, the one people put off reading for fear they aren't up to the task.

But it's just a book. It's a strange book, sure, but it's far from the impenetrable thing people make it out to be. It possibly seems that to people who take it too seriously, who think everything in it must be a reference to something else, and every scene and character is part of some larger whole beyond their comprehension. Now, there are a lot of references to other things - sure - and deeper meanings to be found if you search for them - yeah, and some of it's pretty cool - but I also think Pynchon gets overanalysed. I suspect he's just having fun a lot of the time, and a lot of it isn't really supposed to make sense on any kind of complex level.

Relax, just let it happen, accept you aren't going to be able to keep track of it all, and it's not so difficult.

After you've read Gravity's Rainbow, I'd suggest Vineland as your next stop. Why? Well because it's just so not Gravity's Rainbow. Where Gravity's Rainbow is long, fast-paced, complex, and deals with characters lost in the chaos of the wider world, Vineland is comparatively slow and gentle, and deals more intimately with individuals. Its characters feel more real, and the world they inhabit - though still strange - feels more like our own.

I think once you've read these two, the order of your remaining reading won't matter too much. You'll have a good feel for the spectrum of emotions that Pynchon likes to take his readers through, and hopefully you'll have developed a taste for it, too. If so, pick one at random, or one you like the sound of, and read on.