Incidentally, he has made a lot of his earlier work available online, like a short story collection, an unsold novel, and several other bits and pieces all over the web.
Anyway from there I read the Laundry Files, a set of Lovecraftian spy thrillers mixing SF, horror, the occult, IT and British government bureaucracy. An interesting mix to be sure. The Apocalypse Codex is the fourth and latest installment in the series and is pointless to read without having read the other ones first. Which I recommend you do - I still think the first in the series is the strongest. If you want to get a taste of what this strange and heady mix is first, there are three short stories set in the same universe available to read for free online (1,2,3).
If you do like the Laundry Files, this latest one is a blast. It assumes you're already aware of who Bob Howard is and what goes on in the Laundry universe, so it does away with much of the exposition and instead offers a rollercoaster plot which had me finish the thing in a day neglecting much of my other duties. I generally hate spy thrillers but as it turns out I do like parodies of it (clever ones, not Mike Myers ones) and Bob is in many ways the anti-spy: not suave, not in control, and not a big hit with the ladies, although he is now married to a powerful sorceress whom he rescued from terrorists who were messing with stuff occultist Nazis who fled to a parallel world left behind... you know what, read the books.
