I'm not a big expert on this author, but I'll agree that Lord of Light is very good. Doorways in the Sand is a delightful romp. The three SF/crime stories in My Name is Legion are good. Many of his short stories are excellent, so any collection of them is a good bet.
Yep, if the question is which novel, I'd go with
Lord of Light or maybe
This Immortal, but I'd go with his collections first - to many folks, he's "the Amber guy" but, to me, he's the "60s short fiction guy." If anyone has any interest at all in Zelazny, they've got to have
The Doors of His Face, the Lamps of His Mouth and Other Stories (man, do I hate that as a title to a collection, though). I'm also a big fan of
My Name is Legion. Even though two of its four stories were reprinted in
Doors, the remaining two in
Four for Tomorrow are also excellent - no idea why they were reprinted and not reprinted the way they were.
The Last Defender of Camelot and
Unicorn Variations also contain great work. I would not recommend his expansions, though: "He Who Shapes" (expanded into
The Dream Master) and "Damnation Alley" are, unsurprisingly, much better in their shorter forms (novella, IIRC).