As a rather avid Churchillian, I'll see if I can be of some help here. Foremost, it would depend entirely on your own interests. Churchill's writing covered a wide range of topics, from WWII to a biography of his father and a wider history of the Anglosphere. I find his style to be largely consistent throughout his works, so I would recommend concerning yourself with the subject matter. His two most celebrated works, and the ones which I would recommend if you are prepared for a long read, are his history of the Second World War and A History of the English Speaking Peoples. The main consideration with either of these works (and his others, although to a slightly lesser extent) is that Churchill's perspective is decidedly subjective, and informed largely by his own (very strongly entrenched) personal ideals and values. This does not discredit his books as historical sources, but is something which one should bear in mind. For example, his (to my mind) rather brilliant Second World War is as much a personal memoir as a recounting and analysis of the events. Personally, and I invite others to disagree with me, this only heightens the value of these works - they are as much themselves a piece of history as they are a chronicle of history.

In terms of literary style it is Roy Jenkins' view in "Churchill" that "My Early Life", one of Churchill's earlier books, is the most enjoyable to read. I quite agree with him, it is full of humour and condenses his often far too long winded style without losing any substance. It gives you a great sense of the character of Churchill too, not only through the autobiographical events it describes but also through the way it is written - which events he focuses on (South Africa and the escape!) and which he skips on by (his parents' relationship together).

/u/TheNecromancer states it perfectly in his (her?) top-level comment: 'they are as much themselves a piece of history as they are a chronicle of history.' In the case of "My Early Life", that is the personal history of Churchill, however. So although it might be of a lower historical value to you, it in my mind it is a better read and has better literary style. Recall that it was written before the writing-and-research-factory of Chartwell got going and perhaps this is the reason why it seems more personal.