The first one I watched was The Man Without a Past but his style is so consistent across the decades it really doesn't seem to matter. I think starting with that one kind of prepared me for what to expect with the others (sparse dialogue, minimalistic sets, Finnish in-jokes, musical number from a working stiff), but I'm sure somebody would probably tell you to start at the beginning films, The Worthless or Crime & Punishment. Or I guess he was also making films with his brother before that but I haven't watched them yet