To be fair, to truly appreciate Shakespeare, you must read...
Seriously, I love the majority of Shakespeare's works.
My top favourites are Othello, Henry V, and Macbeth, not necessarily in that order. Close behind are Hamlet, The Merchant of Venice, Julius Caesar, King Lear and Richard III. There are so many brilliant moments in his plays, bringing such depth of human emotion, intellect, and experience. I admit I am fonder of the tragedies than the comedies, but the comedies are wonderful as well, especially Taming of the Shrew and The Merry Wives of Windsor. His works offer us an absolute endless ocean of brilliant quotable lines.
However, there is one exception: I despise Romeo and Juliet. The main characters are vapid fools, and the plot twist is just a little too stupid to be bought as realistic. Also, Mercutio is the only interesting character in the play. His diatribe on Queen Mab is the one moment of true literary brilliance that reminds us how great (usually) is the author who wrote this thing. When he dies at the top of act III, the play should just end. It's all vapid stupidity after that. It reads like a farce written by someone who doesn't understand that the genre of farce is supposed to be comedy.
And I fully agree that one should see the plays first before reading them. They were written to be performed, not read, and certainly not to be studied in a literature class. IMHO, experiencing the emotion of the actor is essential to understanding the Bard, because he wrote the plays with that in mind.