As everyone's said, start with Magician.
Reading the next two in the Riftwar Saga, Silverthorn and A Darkness at Sethanon, is a good idea, but they aren't essential and aren't quite up to the standard of Magician (which IMO is a huge amount better than Prince of the Blood).
But you should also check out the Empire series after that - Daughter of the Empire, Servant of the Empire, Mistress of the Empire - which is cowritten with Janny Wurts, and is the best of anything Feist has written.
I've read Conclave of Shadows, and while it was better than his worst, it struck me as typical Feist - entertaining light read, but nothing spectacular, and as usual, it doesn't approach his early work. It was an improvement from the Krondor series and the standalones, but that isn't really saying that much. I'm beginning to doubt that Feist will ever return to the standard he set when he wrote Magician, but I haven't read Flight of the Nighthawks yet.