I tried The Antichrist but it was too complex to me (I was between 18 and 20 years old). I tried Zarathustra, but since each part has a different style (in one he speaks frankly, in the other he is completely ironic, etc), I couldn't get it until I found a succinct commentary some years later (I was about 25 then). When I had 23 I found Ecce Homo, and only then I could finally understand what his main goals were. From this point on I could read him without bigger problems. The books I considered more easy to grasp (because there was a clear line of thought) were Beyond Good and Evil, On the Genealogy of Morality and The Antichrist. To read other rationalist, materialist, revolutionary thinkers also helped a lot (people like Schopenhauer, Russell, Dostoyevsky, Mark Twain, Thoreau).
Long story short: begin with Ecce Homo.