Okay... Ecclesiastes, and why:
I consider it the first book that a person should read in the Bible, and one of the most important. Most of the book is written about the chief philosophical problem that we all face: the problem of personal meaning (read Man's Search for Meaning by Viktor Frankl or really any of Kierkegaard's works for some other discussions on this excellent topic). Ecclesiastes opens with a discussion of these pre-theological problems, and, with the final verse, sets up the chief theme of the Bible as a whole: "Fear God and keep His commandments, for this is the entire duty of man."
From here, the reader should move through the Torah so that they can understand just how far one has to go to "keep His commandments." It's an impossible task.
So, in short, Ecclesiastes sets up, logically and completely, the entire theme of the non-historical portions of the Old Testament, so that the New Testament's message of hope and deliverance is properly understood.
Jesus is the answer, and Ecclesiastes is the question.