It really all depends on your budget. I would suggest starting with trade paperbacks for X-Men, Spider-Man and Avengers. Those characters have a lot of history.
If you go to a comic book store I'm sure the people there can recommend any myriad of stories. Among the best:
1. Dark Phoenix Saga
2. Days of Future Past
3. Civil War
4. Infinity Gauntllet
5. Wolverine (original miniseries by Chirs Claremont and Frank Miller)
6. Secret Wars
Those would be nice starting off points.