Full Zelazny bibliography
I agree that the short works are better and more important than the novels. (Some of the collections listed on that page are poetry rather than short stories.) The one collection for a beginner to get is The Doors of His Face, The Lamp of His Mouth, with 17 of his best.
As for the early novels:
This Immortal was a dynamite first novel. It actually tied with *Dune *for best novel in the first Nebulas. (Mostly because This Immortal had been serialized in a magazine first and *Dune *appeared in December in a small hardback edition, but still.) It introduces the themes that Zelazny would explore for the rest of his career: immortality, a flawed superhuman protagonist, the effects of mythology of society, lost love.
The Dream Maker is really a novella. It is a psychological exploration of some of these themes, but not as strong.
Lord of Light is his masterpiece. It uses eastern religions to the best effect of any sf writer, but is set on a distant planet where the protagonists set themselves up as the gods. A must read.
Damnation Alley is much to-the-twenty-third power better than the movie. It’s pure adventure and a good read in the best sense.
Creatures of Light of Darkness is Lord of Light with Egyptian mythology. Most Zelazny fans consider it an experiment that failed.
Isle of the Dead returns him to power. Another superhuman immortal, another planet, but a new and interesting take on the subject.
You can pick and choose from among the books that he wrote after starting Amber. They’re varied in tone, in subject, and in quality, but are all readable. I like *Madwand *and its sequel *Changeling *because Zelazny gives an explanation of how magic works that I’ve never seen anywhere else, and uses his variant on magic for fun battle scenes. *Roadmarks *was moving along well, setting up a major conflict between hero and villain until you turn the page and find that the conflict is settled, as if 100 pages had been cut from the manuscript for space. There’s too much of that kind of thing in late Zelazny for me to rank those book with the early ones.
The collaborations are all readable but not major work.