I started writing about the symphonies, but I quickly realized I was going to end up with an entry the length of a scholarly paper. I love the 1st, 2nd, 3rd, 4th, 5th and 9th. The 6th and 7th leave me cold, and I have mixed feelings about the 8th in spite of the magnificent choral work.
I would recomend starting with the 1st and listening to it about 5 times to get the shape of the work. If you can, find the 5-movement version with the extra slow movement (Blumine) that Mahler removed at publication time. He quotes from Blumine extensively in the finale, so the 4-movement version doesn't quite add up.
From there, move to the 2nd, which is still my favorite. I could write an entire thread about that symphony and the cross-quoting from his lieder and the work of other composers that he uses as the musical version of literary allusion.
(Dangerous subject to get me started on.)
But some of the Lieder send chills up my spine. "Der Arme Tambourg'selle" just for example
I took German for ten years so I'm used to morbid. There's a strong streak of that in almost any German poet.