“Book of the New Sun”, beginning with Shadow of the Torturer, is his major work but can be unapproachable at first. The narrator/protagonist is a terrific character, but a IMO difficult one to spend time with.

The Fifth Head of Cerberus is also a great entry point. It’s a set of three interconnected novellas that, for my part at least, were more immediately engaging than BotNS. It’s got all the Wolfe-isms you want: unreliable narrators, unconventional settings, and puzzle-box stories that slowly open themselves.