I agree with The King of Elfland's Daughter and The Charwoman's Shadow. Those are both good choices in regards to his novels. As for collections of shorter works, try At the Edge of the World, and Beyond the Fields We Know. Those would give a good sampling of his style and fantasy works. He was also an accomplished playright--The Glittering Gate was his first produced play, and he is also remembered for productions such as Plays of Gods and Men.
That should be enough to get you started. IMHO, in terms of fantasy, Dunsany serves as the bridge or transition point between the work of William Morris and the work of Tolkein. Hope this helps. Best wishes, Terry