The Crying of Lot 49 is also good to start with because it's only 150 pages or so.

His collection of short stories, Slow Learner, has some gems in it. I really liked the second story, Low-lands, the last time I read it.

Around 20 years ago, when I was in college, I collected as much of his non-book stuff as I could and put it on a web page. Oddly, it seems it has survived: http://www.pynchon.pomona.edu/uncollected/index.html

My favorite piece there is the article for Aerospace Safety, from when Pynchon worked at Boeing: http://www.pynchon.pomona.edu/uncollected/together.html