I would really recommend his non-fiction book, 'Underground' about the Tokyo gas attack. He interviewed a number of the survivors of the attack as well as members of the cult who carried it out and records their words, adding his own comments and reflections before each section. It's an extremely moving book and is definitely linked to some of the themes in his novels, especially about the Japanese psyche and memory and how people deal with their memories and recover from trauma.
His book of short stories, 'After the Quake' is also brilliant - distills some of his preoccupations into much more manageable chunks than some of the more sprawling novels. Having said that, I'd really recommend one of the longer novels, 'Dance, dance, dance', although there's a talking sheep guru who features a lot in it! Lots of interesting musical references in this one, beyond the usual jazz he refers to, pretty sure Talking Heads and other 80s bands feature.