What alexseanchai said. Normally if I get a collected works, I try to see how it's organized (often by the books it was taken from, but not always). If it's by book, I usually pick an arbitrary poem from each book; otherwise I tend to start with something near, but not absolutely at, the back of the collection.

And some things just don't work for me. Marvin Bell is one of my favoritest poets. I think he's amazing. And I loathe his various Dead Man poems completely. I think they are tedious and pretentious and overly-constructed and just boring...but they're not all he wrote, and I love some of his other work.