Don't bother w/ Ultimate Spider-man it is wank, and not even Spider-man anyway.
Collecting Spidey- You can do one of two things-
1) Just buy trade paperbacks and collections, or-
2)Buy trades/HCs plus get acquainted w/ Spider-man in 2007 through buying the comics also.
Essential Spider-man are a series of on-going reprints chronicling the original run of comics, basically the golden era of Spider-man. This stuff is essential is reading, but in black and white it can be a bit of a drag. Marvel Masterworks is the other option for getting the original run for reading purposes, but they are rather expensive in comparison and only feature roughly 10 issues per volume.
They are however beautifully restored in full colour and a joy to read.
I have been told you can pick them up cheap in Barnes and Noble
A Spider-man Omnibus is coming out soon that collects the first 38 issues of ASM plus more,
its in colour too and a HC so its like a merging of the two previously explained formats.
For first time readers though, some of this stuff aint that easy to read.
I would say a good way to start would be pick up the latest Spider-man Marvel Masterwork (Vol 7 I believe), checking out the latest ASM trade, latest Sensational collection (Feral), and the latest Friendly Neighbourhood trade.
This way you will get a taste for classic old school Spidey, and then decide if you want to collect that stuff, and similarly get to see what each of the three current books are like and if any which you would choose to collect. Most folks here seems to think Sensational Spider-man is the best book right now.
I share this opinion, and since Sensational is the book that Venom is going to be returning in soon it is probably your best bet.
It would also be a good idea to pick up the Wizard Best of Spider-man HC.
As this collection features some of the most popular Spider-man arcs/issues ever from throughout web heads 40 year + history, so it would be a good opportunity to see which creative teams you dig.
Then you could go off and collect their runs. Another idea could be to pick up Spider-man The Ultimate Guide by Tom DeFalco and see what characters/arcs you like the sound of and go seek em out.
Collecting Venom- Venom's apps are listed here-
http://www.spiderfan.org/characters/apps/venom.html
Many of his arcs are collected in Trade format.
As Dark Spidey mentioned the Birth of Venom TPB came out last week and it is essential for all Venom heads. I'm reading through these issues again as we speak. What makes this trade so great is that it collects every issue containing the symbiote from its inception in Secret Wars #8 right up until the Spidey Venom showdown in ASM#317, and thus their first two battles.
The next trade to get after that would be the deleted Venom Returns volume.
You will be able to find it on ebay somewhere.
This contains the 3 and 4th Venom Spidey fights.
It rules.
Other noteworthy Venom arcs/collections are- Lethal Protector, which is not collected right now (I think), Maximum Carnage and The Hunger. Aside from these you could fill in the gaps by picking up single issues, IF you want to collect everything.
Hope this has helped.