I've only seen W & L, Old Joy, and River of Grass.
Old Joy is, IMHO, a great film, though, not as great as W & L. The film largely deals with 2 friends that see each other for the first time in a long time and we see their interactions as a result of the different paths they took. It's also a film about, in Reichardt's words, "two lost liberals trying to find their way."
RoG is a very good noirish on the lam film.
I'd probably recommend RoG first because OJ is an even more sparse film than W & L and RoG isn't as a melancholic viewing. Compared to OJ, W & L is plot heavy.