[UPDATE 6/16/15: Jung's Collected Works can now be downloaded from Scribd.com.]
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.
The prices are a bit steep. If you're just wanting an introduction to Jung's writings, selections can be found in numerous collections. Two of my favorites are Modern Man in Search of a Soul and Psychology and Western Religion. Also worth checking out is Memories, Dreams, Reflections, Jung's spiritual memoir.
The Collected Works of C.G. Jung: Complete Digital Edition - $399.20
Collected Works of C.G. Jung, Volume 1: Psychiatric Studies - $45.99
Collected Works of C.G. Jung, Volume 2: Experimental Researches: 002 - $60.30
Collected Works of C.G. Jung, Volume 3: Psychogenesis of Mental Disease: 003 - $56
Collected Works of C.G. Jung, Volume 4: Freud & Psychoanalysis - $56
Collected Works of C.G. Jung, Volume 5: Symbols of Transformation: Symbols of Transformation v. 5 - $19.25
Collected Works of C.G. Jung, Volume 6: Psychological Types - $17.88
Collected Works of C.G. Jung, Volume 7: Two Essays in Analytical Psychology: 007 - $17.02
Collected Works of C.G. Jung, Volume 8: Structure & Dynamics of the Psyche: 008 - $64.99
Collected Works of C.G. Jung, Volume 9 (Part 1): Archetypes and the Collective Unconscious - $19.25
Collected Works of C.G. Jung, Volume 10: Civilization in Transition: 010 - $64.99
Collected Works of C.G. Jung, Volume 11: Psychology and Religion: West and East: 011 - $68.84
Collected Works of C.G. Jung, Volume 12: Psychology and Alchemy: Psychology and Aalchemy v. 12 - $21.37
Collected Works of C.G. Jung, Volume 13: Alchemical Studies: Alchemical Studies v. 13 - $31.99
Collected Works of C.G. Jung, Volume 14: Mysterium Coniunctionis: Mysterium Coniunctionis v. 14 - $19.25
Collected Works of C.G. Jung, Volume 16: Practice of Psychotherapy - $31.96
Collected Works of C.G. Jung, Volume 17: Development of Personality: 017 - $14.27
Collected Works of C.G. Jung, Volume 18: The Symbolic Life: Miscellaneous Writings: 018 - $104
Collected Works of C.G. Jung, Volume 20: General Index: 020 - $76.23