Moon Knight Epic Collection: Bad Moon Rising
As with other characters, a good place to start from is the beginning. The Moon Knight Epic Collection: Bad Moon Rising contains Moon Knight's first appearances in Marvel canon and includes his origin and introduction to a supporting cast, allies and enemies.
Moon Knight: The Bottom
Charlie Huston and David Finch brought Moon Knight into the new millennium (a little late) with a compelling "fall from grace" story entitled, The Bottom. Almost every Moon Knight fan I've spoken to considers this to be his best arc, and is highly recommended as a jump-in point for the character. -- @Danial79
Moon Knight (2014)
The latest Moon Knight series has been given high praise by many and has a unique style in terms of both storytelling and artwork. A small amount of knowledge on the character can be helpful but it's not particularly difficult to grasp and a couple of trade paperbacks have been released, Moon Knight Volume 1: From the Dead and Moon Knight Volume 2: Blackout.