Play It Again, Sam isn't a Woody Allen directed feature, though he wrote it, so I can split the difference there. And it's a good movie.
I might suggest starting with the earlier stuff. Sleeper is probably my favorite. Take the Money and Run is great, as is Love and Death. There are a lot of really good Allen movies.
I actually didn't like Annie Hall that much, however. Go figure, right?
But if the Soon-Yi thng creeps you out, stay away from MANHATTAN!
(I admit that one is a little hard to watch these days.)
^ I just watched Manhattan, and it came off as a very creepy wish-fulfillment piece, as did Whatever Works.
Beyond the issues of Ms. Previn's age (thirty-four years younger than Mr. Allen) and her relationship to Mr. Allen prior to their liaison, I think about Ms. Previn's siblings. How did they feel, I wonder, when a girl raised as their sister became involved with a man they considered their father (or in Ronan Farrow's case, a man who actually was his father)?
@Greg and David:
Stacey Nelkin, who was a 17-year old when Allen was dating her, was the inspiration for Manhatten.
Sidenote: I actually added that tidbit initially on Wikipedia when I was doing research on Allen; there should be some references..i.e. biographies listed, where the info came from.