Everything from Volume 5 onwards is written after his split from Freud, and seems the most valuable to me. I've got 6 of his Collected Works books in front of me, but have read only two in their entirety.
His writing prose is incredibly hard for me to understand sometimes. Vol 5 (Symbols of Transformation) took me forever to read. I thought it was a really slow read. A couple of good chapters though.
Two Essays on Analytical Psychology (Vol 7) was a great read. I am trying to read the books in order. I've read bits and pieces from his other works from the book, The Portable Jung.
I've been reading Psychological Types this month (already read his general types part). It's been interesting to see him dissect other people's (Schiller, Neitzche, Jordan) opinions on the type problem!
Also have read Memories, Dreams and Reflections, and Man and his Symbols. Man and his Symbols might be a good starting point, and is relatively cheap.