I'm pretty new to the EU as well. I started with the Dark Horse comics. I needed to get everything Aayla related first. Then I read the Thrawn trilogy that I bought years ago, but never opened. Then I got the Tales Of ... books, and the Bounty Hunter Wars.
I got some lists from the Lists sections on Amazon.com, but the suggestion StarWarsPhreak made about using the chronological list is probably the best idea. I'm planning on saving the NJO series for last.
You can also buy your books from Amazon.com for half price (including shipping). But they're used, and Like New actually means Used
I'll probably go back to Barnes & Noble and buy them new, I just like new ones better.