A lot of the books are pure crap, but others are very, very good.
The Thrawn trilogy and the X-Wing series are the best to start with, so if you're interested in reading more, I'd suggest finishing the X-Wing series.
I, Jedi is good because it follows some events after the X-Wing series, and it does a good job of summarizing the Jedi Academy trilogy, so if you read this, you don't have to read that (I really, really didn't like the Jedi Academy trilogy.)
After those, read the Hand of Thrawn duology and Survivor's Quest, more of Zahn's work, and if you're interested in reading prequel-era stuff, pick up Outbound Flight (AFTER reading Survivor's Quest) and Rogue Planet (whenever), because those tie in to later books. I also highly suggest reading the Republic Commando novels, because they're excellent, but have yet to have much of an impact on the rest of the EU.
If you want, it might be worth reading the Truce at Bakura and the Courtship of Princess Leia (two seperate books). I didn't particularly like either of them, but the events that take place in them impact later books (though you could just skip them entirely)
After that, you can star the NJO and then the Dark Nest trilogy, as well as the upcoming Legacy series. The NJO causes some controversy over some major, galaxy-altering events that take place, but I found them to be thoroughly entertaining. The Dark Nest trilogy follows immediately after the NJO. It isn't terribly spectacular, but it was enjoyable, and bridges the gap between the NJO and Legacy.
So there you have it. That isn't entirely in chronological order, but those are all of the really good books (IMO), if you're interested in reading them.
Moo.