Wow that
is a hard one to answer.
When someone says to me, "I don't like Woody Allen movies," I say to them, "You just haven't found the right one yet."
Woody Allen's films can be very different from one another. Sure there are some that all feel like the typical WA that we all are familiar with (Annie Hall, Manhattan, Anything Else, Whatever Works, etc.). Then you've got the ones that are screwball comedies. These are usually his earlier works (Bananas, Take the Money and Run, Everything You Wanted to Know About Sex*).
Then you've got his slightly darker more slow-paced faze. Still comedic, but, IMO, more dramedy (Hannah and Her Sisters, Deconstructing Harry, New York Stories).
And then there's some really hilarious ones that somehow don't fit into the above categories, yet of course have Woody's fingerprints all over them (Purple Rose of Cairo, Zelig, Broadway Danny Rose, Radio Days, Sweet and Lowdown).
So to answer your question, just dive in! It doesn't matter where you start, just make sure not to write off all his movies if you don't end up liking one.
Thanks.