Thanks for the thread. I was wondering the same thing too- trying to decide what books to get my hands on now that they are pretty much all available on eBook and/or audiobook. I've read bits and parts of the EU but want to read more. Zahn's books are the best of the lot by far. IMHO his "Heir to the Empire" trilogy could have easily been (or could be) the Episodes 7-9 that Lucas originally wanted to do. The Outbound Flight/Survivor's Quest make for an interesting duology and help expand a bit on the new characters introduced in the "Heir" books but are mostly side stories. I just recently got started on his "Hand of Thrawn" duology that follow the "Heir" books.
The Legacy of the Force series (which takes place LONG after the OT) is the only EU series I've read all the way through, which was pretty decent. I've waded into the New Jedi Order and the more recent Fate of the Jedi series a bit though I haven't gotten very far in either of them as of yet.