I've read The Atrocity Exhibition and found it incredibly disjointed which, although that was the point, caused the whole book to become more of a chore than I wanted it to be. In the end the whole experience was more trying than inspiring - it does pave the way for Crash however (which I am yet to read)
I've also ingested Cocaine Nights which I did enjoy more but, I imagine, is a far more simplistic and straightforward tale (if a little cautionary)
Kingdom of Heaven and The Disaster Area, apparently they are both great, first one is about the second world war, the other is a science fiction collection of short stories I think.