Ashes of Time is mindblowing.
Watch Chungking Express first, then Fallen Angels because it's a semi-sequel. Both are fantastic.
In the Mood for Love and 2046 (sequel) are somewhat perfect, too.
Then go watch the rest of his films. Days of Being Wild is also related to Mood and 2046. Days was originally supposed to start a trilogy, but only the first part got made at the time because it didn't do so well at the box office. Wong later changed his original plans a bit but Mood can still be considered a sequel to Days of Being Wild. 2046 was originally supposed to be a sci-fi thriller about a future post man, but somehow it turned into a Mood sequel.
That's the funny thing about Wong. It seems like he has no idea what he's doing while filming. In the Mood for Love for example took years to complete. They shot footage that differs from the finished movie like day and night. Ashes of Time was a mess, so he took vacation and shot Chungking Express. It was getting too big, too, so he had to drop the third story from it. After Chungking he went back to finish Ashes. Then he took the left over story from original Chungking scrip, added one new story and that's Fallen Angels. Even Happy Together could've have blown into his hands because he gave Tony Leung and Leslie Cheng a censored version of the script that had all the gay sex scenes removed. Uou can imagine how they reacted when they found out the truth. And you can imagine how Tony Leung reacted when Leslie Cheung later came out from the closet in real life ;D
Despite all that, the finished movies are masterpieces without equal. I guess he's a creative madman of some sort.