"THE THRAWN TRILOGY, as that's where it all began. Michael Stackpole's I, JEDI is also very good. If you're down with space battles, the X-WING series by Stackpole and Aaron Allston is also good."
I got started in the EU on Stackpole and Allston, and positively love the X-Wing series. The Thrawn trilogy is excellent, and it is a crime that they're not making those into Episodes VII, VIII, and IX.
My one difference with you is that I, Jedi is my favorite book in SW, followed closely by Allegiance (Zahn's first Hand of Judgment book) and Traitor.