To date I've read:
The Screwtape Letters
The Pilgrim's Regress
Mere Christianity (the beginning of it)
Out of the Silent Planet
Perelandra
That Hideous Strength (most of it)
I love The Pilgrim's Regress, no other book has come so close to putting my world view into words. It's an allegory, so some of the representations are difficult to understand, but I love allegory and the manner in which it is written is very creative.
As MacFall has said, the space trilogy (Out of the Silent Planet, Perelandra, and That Hideous Strength) is excellent, the books just draw you in. The only one I had trouble finishing was That Hideous Strength (the third and final book of the series), because I found parts of it to be boring. But a friend has encouraged me to finish it, and I'm interested to see how it ends.
The Screwtape Letters is also an interesting read. Mere Christianity, I agreed with parts of it, but I didn't read too much because I found it to be too philosophical. I would also like to read The Great Divorce, as I've heard many good things about it.