"Time Considered as a Helix of Semi-Precious Stones." Short story, bootleg scan available online; I have no qualms telling people to start with that since they'll want to buy the rest of the collection soon enough. It's my favorite of his stories in a lot of ways. The characters are fun, every word (or at least every sentence) is essential to building the world, it has a very strong sense of place that's so common in his work.
I would /not/ suggest starting with Dhalgren. You will enjoy it more if you learn how to read Delany from his other works. Work through his super-accessible shorts, then Stars in my Pocket for an intro to theme and style, then Triton for an intro to disagreeable protagonists in his work. Then back to Babel-17 / Nova for use of language, and then -- if you enjoyed all of those -- on to Dhalgren for the first attempt.