Consider The Lobster was my first exposure to DFW. The first time I heard it I thought this guy was crazy and didn't take it seriously. After a while I realized that DFW is one of the best authors that ever lived.

His writing is incredibly dense so you have to space it out and be very focused when you read, but its worth it.

I'd recommend all the essays in "A Supposedly Fun Thing I'll Never Do Again", including this one about David Lynch http://www.lynchnet.com/lh/lhpremiere.html

His review of Terminator II is probably the most cerebral essay about an action movie ever written: https://www.scribd.com/doc/14994144/David-Foster-Wallace-F-X...