Apart from some quotes, the only writting of his I have read any of is The Sickness Unto Death. It took me a while to check out any of his writings since reading Francis Schaeffer had kind of warned me off. Then I said to myself "I am just going to read a chapter or two of this guy to see for myself" rather than always taking Schaeffers critiques as infallible (that said I still find Schaeffer is very good in many respects)
A lot of the short summary statements that there are of what Kierkegarrd's philosophy was are too simple.
I think he has some insights, but isn't always easy to understand. He's probably not for everyone. He comes from the Biblical realism school.
More detailed and sympathic critiques of his thought I'd recommend are:
Donald Bloesch - A Theology of Word and Spirit, (the introduction to Bloesch's seven volume Christian Foundations), but has a section on Kierkegarrd.
William Barrett - Irrational Man (about existentialism in general, covers four of the seminal figures - Kierkegarrd, Heidegger, Sartre, Neitzsche - even though some disavowed the label 'existentialist' )
Karl Stern - The Flight From Woman, insightful chapter on Kierkegarrd, his personality and character.