I've had several people ask me where to start with my novels, and a few others who've said they still tend to think of me as a game-writer first and foremost. So...
HOT LEAD, COLD IRON is probably a good place to begin. It’s one of my best books, and while it’s the start of a new series, the story is mostly self-contained. You won’t be left with any major cliffhangers.
Maybe you’re in the mood for more traditional fantasy, though, rather than urban/gangland fantasy-noir. In that case, I suggest one of the following:
THIEF'S COVENANT, if you don’t mind Renaissance rather than Medieval fantasy. (It’s YA, but not really all that different from my non-YA stuff.)
THE GOBLIN CORPS, if you want something that looks at epic fantasy from the villains’ point of view. It’s a lot more sarcastic, bloody, and profane than the rest of my stuff.
And then there’s THE CONQUEROR'S SHADOW, which is probably the closest, of all my books, to “normal” fantasy. It's briefly unavailable in e-format, but that'll change soon.
GOBLIN is a completely stand-alone book. The other two have sequels, but are written to stand on their own; so again, you won’t be left with major cliffhangers.