The Joker has no definite origin story. Although this might be unfortunate for new readers, it is an essential part of the character's mythos and appeal across generations. However, there are some stories that have (re-)defined the Joker. This page provides a couple of those readings.
An absolute Joker must-read is The Man Who Laughs. It was meant as a direct follow up to Batman: Year One and shows Batman's first confrontation with the Joker.
The Man Who Laughs might show Batman's first encounter with the Joker, but it does not offer an origin story. While there are no definite claims to Joker's origin, the one portrayed in Alan Moore's The Killing Joke has widely become accepted as Joker's origin. In addition, this graphic novel shows how the Joker paralyzes Barbara Gordon (who would become Oracle therafter) and tortures Commissioner Gordon. Perhaps the greatest Joker story ever told.
Another classic often mentioned by fans of the Joker is Arkham Asylum: Serious House on a Serious Earth, written by the legendary Grant Morrison. Here, an alternative view on the cause for Joker's behavior is given by an Arkham doctor. The graphic novel portrays a very feminine Joker with some homosexual tendencies. The scariest depiction of the Joker according to some.
For a more recent take on the Joker, check out Brian Azzarello's Joker. This one-shot came out around the same time as Nolan's The Dark Knight and the similarities between this Joker and the one played by Heath Ledger are striking. A very mundane take on the Joker, showing no supervillainy at all and seen through the eyes of a Joker henchman.
If you are more interested in current affairs and the New 52 Joker, then make sure you pick up the Death of the Family storyarc. A Joker like we have never seen him before and adored by some, while loathed by others.
To go further with this unpredictable sadistic clown one can read The Greatest Joker Stories Ever Told which reprints his best stories from the Golden and Silver ages.
Detective Comics #826 - Slayride - Despite Joker doing all of these horrible, horrible things you can't help but laugh with him.