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It all depends where your interest lies, in my humble opinion, I would suggest reading some of the pre-Episode I material, as it helps you understand the Galaxy prior to the Empire.
But if you're more of an original series fan anyway, then I suggest you start with "Truce at Bakura", or "Shadows of the Empire" as they help fill in a few minor gaps in the story.
I strongly advise against starting with the New Jedi Order series, as you'll have missed 40+ years of Star Wars history after the Battle of Yavin. Starting there, you really won't have a clue what's going on.
Of course, there's always the novelisations of the films as well if you truly want the full experience...