I started with The Shadow of the Wind and just finished The Prisoner of Heaven. Just bought the third entitled The Angel's Game today. If you are tempted to explore further, check out his website here and I would start with The Shadow of the Wind.
For those of you who are readers of The Economist, here is a quote from their review of The Shadow of the Wind. Read the full review here.
'The book is written by someone witty and knowing enough to spoof himself while still being able to raise the hairs on the back of your neck... Carlos Ruiz Zafón's zest is infectious... He swathes his story with atmospherics... Barcelona becomes a place of doors opening into dark interiors of the mind... Behind all this is a fierce satirical energy against the tyrants and philistines of history... A game it may be, but somewhere in the shadows are the Caprichos of Goya.'