I just took a class on Nabokov that did not feature Lolita since my professor has an entire class on just that book. It really depends on how much you've read. Pale Fire is amazing, but it's a really odd read if you're unfamiliar with Nabokov (the same goes for Ada, or Ardor). I would suggest The Defense (now marketed as The Luzhin Defense, the literal translation of the Russian title, even though Nabokov preferred it without "Luzhin" in English), Pnin, or The Real Life of Sebastian Knight. I'm more familiar with his English works, but all of those are really good.