Which Upaniṣad should I start with?

the Īśa for its brevity, the Kaṭha for its story — then the Kena, Muṇḍaka and Māṇḍūkya.

There are over a hundred Upaniṣads, but about ten to thirteen are called principal because the great ācāryas wrote commentaries on them: Īśa, Kena, Kaṭha, Praśna, Muṇḍaka, Māṇḍūkya, Taittirīya, Aitareya, Chāndogya and Bṛhadāraṇyaka, often with the Śvetāśvatara and a few others.

The Īśa has only eighteen verses and opens with a whole philosophy: all this is pervaded by the Lord; enjoy through renunciation; do not covet. The Kaṭha tells of the boy Naciketas who questions Yama, the lord of death, about what lies beyond — it reads almost like a short novel. The Kena asks what makes the mind think; the Muṇḍaka distinguishes higher and lower knowledge; the Māṇḍūkya explains Om and the states of consciousness in twelve verses.

The Chāndogya and Bṛhadāraṇyaka are long and rich, best saved for later. Read with a teacher or a commentary from your preferred school.

Source: Īśa Upaniṣad 1; Kaṭha Upaniṣad · Īśa: 18 verses; Māṇḍūkya: 12

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