Oh I really cannot recommend it enough. It has all the right stuff. I started in the middle of the series with Night Watch, and it remains one of my very favorites. I mean it does kind of drop you smack! right into the whole universe, but I think Prachett's writing is strong enough that you soon figure out the ins and outs of the place.

Aside from Night Watch, there are a lot of books in the series. I'm a HUGE Vetinari fangirl so I focus on the ones where he's figured somewhat. On the question of religion, Feet of Clay was excellent, as is Small Gods.