I would start with the "Selected Stories" book by him. You will get the major short stories that get referenced the most. If you like it/his style, his older collections sell for cheap on EBay and there's some gems.

It's a combination of cutting straight to the story and his word choice. Sublime. Another writer who does this is Andre Dubus (senior, not junior). Both of them do real world stories that strike a nerve in just the right way.