Probably most readable, rhythmic and rounded among these tales, so much so that I forced my brother to listen to me reading it aloud to him, is The Great Wall of China, which contains the immortal parable of the messenger.
Kafka's tales are oblique, frequently, I think, resisting reading in terms of established philosophical or ideological positions. Their psychological resonance is immense, even when it's difficult to pin a definitive meaning to the action, to divine the motivations of the characters, or to suck out an aphorism. Tales like The Metamorphosis describe the atmosphere of the tense inter-war period almost by exquisitely carving out the negative space. Investigations of a Dog is another of my favourites, interrogating, indirectly but with keen clear sight, unspoken anxieties and motivations behind social habits, and perhaps religious practices.
I have a theory that every honest reader will find themselves (uncomfortably, of course) in Kafka. I am the animal narrator-protagonist of The Burrow, who obsesses over its home's security and defences, and experiences bliss rolling on the floor of one of its chambers in brief, luxurious forgetfulness. Reflecting on this is quite therapeutic for me; I am able to challenge myself.
Kafka killed himself and commanded his executor to destroy his works. That man, Max Brod, heroically refused, and escaped from Prague on the eve of Nazi invasion. Whenever I read Kafka I thank the universe for sparing these wrenched-out words from suicide and the Holocaust...