He's directed something like 60 movies. Probably more sensible to ask which are the ones to see first, and the answer to that is just to start with the ones you've heard of: Stroszek, Fitzcarraldo, Aguirre, Grizzly Man, My Best Fiend, Bad Lieutenant: POCNO, Encounters at the End of the World.
Personally, I like his docs more than his fiction films (though I enjoyed Bad Lieutenant more than I've ever enjoyed anything else.)