Dangerous Habits is the essential Hellblazer story. I would also recommend the OGN All His Engines, which recently came out in softcover. It's what a Hellblazer film should've been IMO.
The two TPBs featuring Warren Ellis' run (Haunted and Setting Sun) are also pretty good. Same with the Mike Carey TPBs (Red Sepulchre, Black Flowers, Staring at the Wall, and Stations of a Cross) but I would recommend reading those in order because each consecutive volume expands on what happened in the previous one.