I started with Neveryóna, which is in some ways a very peculiar place to start, though not a bad one, but it's from his 70s/80s fantasy period as opposed to his earlier SF. On that front I'd recommend Nova, Babel-17, or The Fall of the Towers--they're all really great, though TFoT is still a younger work. If you like those you can move on to his other books!
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Yay Delany! He is so, so, so awesome.