Jung's Collected Works are being made available for instant download as of March 1, 2014! Below are some convenient links for purchase/download of either the entire collection or individual volumes.
For Pagans interested reading just one volume of Jung's writings, I would recommend Volumes 9(i) (The Archetypes and the Collective Unconscious) and 11 (Psychology and Religion) which explain the gods in terms of archetypes. If you're really into mythology, then I would also recommend Vol. 5 (Symbols of Transformation). If you are an esotericist, then I would recommend Vols. 13 & 14, which are about spiritual alchemy. And if you are more into the visionary, then definitely check out the Red Book (not part of the Collected Works), Jung's account of his visions and imaginings during his period of psychological breakdown following his split from Freud.
When I first started getting into Jung, I was lost. I quickly discovered three things: First, Jung wrote a lot! There are18 volumes of his Collected Works (not counting the bibliography and index) and they are not even complete. Second, there is very little logic to the ordering of Jung's writings. This is why electronic versions of Jung's writings are great: because they are searchable. And third, electronic versions of many of Jung's writings are very hard to find. I've previously provided a list of Internet Jung resources here along with a link to a torrent download of Jung's Collected Works.
Jung's Collected Works
Most citations to Jung's works refer numbered paragraphs of the Collected Works (i.e., CW 9ii: P 77). Jung's Collected Works are not organized exactly chronologically. As a result, it is difficult to determine the evolution of his ideas. And it would be difficult to organize Jung's writings chronologically anyway, because of confusion about when many of them were written. Most of the volumes consist of collections of essays written across Jung's career, with the exception of Volumes 5, 9(i), and 14, which are self-contained works.