Yeah, Millerverse is an acquired taste.
My advice is to go through it in line with it's release.
The Dark Knight Returns is a must have though... If you don't think it's awesome then don't get The Dark Knight Strikes Again... and in turn if The Dark Knight Strikes Again seems too over the top for your tastes, then don't get Allstar Batman and Robin the Boy Wonder.
I'm going to chime in with No Man's land as a recommendation too... I think that's pretty underrated, but probably more enjoyable if you've read some other stuff first.
I liked Hush too, but I think that benefits from being familiar with the extensive rogues gallery Bats has.
Batman's pretty much the only title where you'll ever catch me saying this, but; get anything Loeb that you can... But for pretty much any other title in recent years, the opposite's been better advice.
While I'm in here... What do people think of Cataclysm? Worth getting?