If you’re new to Nietzsche, I would contradict some of the above posts and advise again either the Kaufmann study (Nietzsche: Philosopher, Psychologist, Antichrist) or the Deleuze (Nietzsche and Philosophy), for differing reasons. The first is extremely dated in its approach, hampered by the fact that no reliable translations of Nietzsche were then in circulation so that all of the citations are to an older edition of his works in German. The Deleuze is a fabulous book, and definitely worth a read, but it is very difficult as an introduction and really assumes that you know Nietzsche well. Please also avoid the Heidegger works until you are comfortable with Nietzsche, as large parts of his analysis is dead wrong.
The best way to get into Nietzsche is with his own work, and as noted above the Kaufmann translation are pretty much the standard English versions. The volumes listed below will give you every major work of Nietzsche’s in a solid translation.
The Portable Nietzsche, trans. Walter Kaufmann
Basic Writings of Nietzsche, trans. Walter Kaufmann
The Gay Science, trans. Walter Kaufmann
Human, All Too Human, trans. R. J. Hollingdale
Hollingdale is the other great Nietzsche translator, and he covered most of the works Kaufmann left untouched (like Daybreak, which is also excellent.)
Portable gives you copies of Thus Spoke Zarathustra, Twilight of the Idols, and The Antichrist (amongst other tidbits). Basic Writings gives you Beyond Good and Evil, The Genealogy of Morality, and Ecce Homo (amongst other works).
My recommendation is to start with Beyond Good and Evil and The Genealogy of Morality, as these are his acknowledged masterworks in straight language. Zarathustra should follow to amplify and beautify the concepts. It has been my experience that the faux-Biblical style of Zarathustra can be very off-putting to the novice, but some love it as an introduction. And, to be fair, it was where I started, too.
The secondary literature is vast and growing every year, with most of the best studies translated into English by now. For a simple starter (and if you only want to read one short book) the Lee Spinks volume, Nietzsche, which is part of the Routledge Critical Thinkers series, is probably a good choice. Hatab’s excellent book Nietzsche’s Life Sentence is the single best explication of Nietzsche’s most obscure concept (eternal recurrence). Lampert’s pair of interpretations, Nietzsche’s Teaching and Nietzsche’s Task, are both worthy of consideration. And Hollingdale’s philosophical biography, Nietzsche: The Man and His Philosophy is probably still the best in its class.
Now, to back up my recommendations just a little, I’ll point out that I’m an intellectual historian with a dissertation on Nietzsche and 19th century science. Not that you should take my word just for that reason (of course!), but I have read (at last count) 79 secondary works in three languages and all of Nietzsche’s available writings, published or not, in two languages. There are a lot of brilliant books on Nietzsche out there, but plenty of crap, too.