Reddit mentions of The Riverside Shakespeare, 2nd Edition

Here ya go.

Grab a copy of The Riverside Shakespeare.

It's a complete volume, with plenty of background on each of the works, and plenty of footnotes to help you get up to speed on the language. Really, with Elizabethan/Jacobean literature in general, developing a familiarity for the linguistic style is probably the most difficult part for modern readers. Once you get the hang of it though (after a bit of slogging) the reading becomes much more enjoyable.

As for the order, there's nothing wrong with starting with the most popular/famous works first, as others have suggested. As you become more familiar with the style, you will find it easier to move to other works where you may be less familiar with the overall storyline.

Since we're picking favorites, my personal favorite is Measure for Measure.

I think the process of studying Shakespeare offers great possibilities for personal growth. Remember, as the fine Duke Vincentio said:

Heaven doth with us as we with torches do,

Not light them for themselves; for if our virtues

Did not go forth of us, 'twere all alike

As if we had them not.

You should purchase The Riverside Shakespeare, which is a large book filled with the complete collection of Shakespeare's plays and poems from the best folios. It also has accompanying literature for each play and poem. My copy is very precious to me so if you love studying Shakespeare, I would highly recommend purchasing this collection in particular.