I recommend reading the trade paperbacks, as the stories are designed to be collected. I'd say start with either Wake The Devil, which is the 2nd volume, youll miss out on some basic origin story but also wont have to deal with the poor writing of the first volume. Or start with Conqurer Worm, which is arguably the best early Hellboy story. Its the first story Hellboy book I've ever read and I now have basically everything they've printed in the setting on my shelf, so I'd say its a good intro.
Alternatively they're collecting all the hellboy stories into 5 omnibuses, 2 that contain the main plot, 2 that contain all the short stories and 1 that finishes the main plot called Hellboy in Hell. I do NOT recommend these omnibuses, part of the appeal of the trade paperbacks is how well they shift from main plot to short story and how those shifts make the world feel large and lived in, as well as how they add an epic, in the classical sense, feel to Hellboy's journey. But its up to you, some people might like that compartmentalization.
After that, its really up to you, you can stick with the main Hellboy series all the way to Hellboy in Hell, or you could pick up BPRD, which is really good. A few of the characters along the way, Lobster Johnson and Edward Grey, have spin off series that don't really spoil anything so if you ever think "I need me more of those dudes" then check out their spinoffs.
My only recomendation for continuity is don't start BPRD Hell on Earth until you've read all the Hellboy stuff and BPRD Plague of Frogs. Hell on Earth is set after everything else in that setting, and is basically a culmination of 20+ years of lore and world building, its fantastic if youre familiar with the setting but will make no sense otherwise and potentially ruin earlier stories if you haven't read them.
