Empire of the Sun is pretty much essential if you want to understand why he wrote the way he did; why his characters are drawn and act the way they do. There's also a short essay he did for the Guardian a few years before he died, on modernism and death, which is informative (http://www.theguardian.com/artanddesign/2006/mar/20/architec...).
Also, this site is good: http://www.ballardian.com/
The Thousand Dreams of Stellavista, The 60 Minute Zoom, The Secret History of World War 3, The Intensive Care Unit, The Gioconda of the Twilight Noon
The novella, Running Wild, might be a good place to start.
With his novels, I would read the big three from the 70's (Crash!, Concrete Island, High Rise), and then maybe the two best of his latter period (Cocaine Nights, Super-Cannes).
http://www.vice.com/en_uk/read/underappreciated-masterpieces...
Really looking forward to seeing Jeremy Irons in it!