I would say get everything with Hellboy and B.P.R.D. but to start i recommed B.P.R.D The Plague of Frogs. Hellboy Seed of Destruction, Wake the devil, conquer worm, the island, and then the Darkness Calls, The Hunting & The Storm and The Fury.
It is a lot but it is worth reading

@Aeroman: I think with start with B.R.P.D I think it's better then Hellboy but thats just my point of view, I would pick up a couple of trades from each series and see which one you prefer. The trades for B.R.P.D start with Hollow Eath & Other stories and then pick up the Soul of venice & other stories which then bring us to the Plauge Of Frogs. These should give you a good foundation in B.R.P.D and help you pick which one you wish to continue with, for Hell Boy you should start with the Seed of Destruction and Wake the devil now that you have read between the two you can choose to carry on with one or both, I could give you a whole list of the trades but that could take forever, just start with the trades and if you are like me you will be uptodate in no time. But these are great reads and a must have for a Hell Boy fan!