The best collection of John Bunyan's writings are found on chapellibrary.org, a ministry of Mt. Zion Bible Church. Though I cannot vouch for Mt. Zion's actual church, I commend them on making John Bunyan's writings commonly available in outstanding PDF format.
Another website that is commendable is Acacia John Bunyan Online Library.
There are several of his writings you should chiefly begin with:
John Bunyan's most popular and outstanding work - the one for which he most well known - is the eponymous Pilgrim's Progress. The tale of Christian and his progress in going from this world to the world that is to come. It is considered by many even secular scholars to be the finest allegory written in the English language, and it is second only to the Bible in popularity and favoritism in Christian literature. You should read it if only to familiarize yourself with this most powerful and effectual story.
Most people who are familiar with this work do not know there is a secondary, subsequent piece called Pilgrim's Progress Part II. The story continues with Christian's wife, Christiana, alone with her children, following after the faithful steps of her since departed husband. It is filled with even more spiritual truth and observation.
To familiarize yourself with John Bunyan himself, you should read his semi-autobiography, Grace Abounding to the Chiefest of Sinners. He describes with frank consideration the work of God in life in bringing him to faith in Jesus Christ, and the struggles and difficulties which he encountered along the way. You will find many parallels between this account and his other writings, specifically Pilgrim's Progress.
It is not commonly known that John Bunyan wrote another allegory called The Holy War, which is very similar in character to Pilgrim's Progress, but is more objective in it storytelling, whereas Pilgrim's Progress is more the subjective experiences of a persevering Christian.
Several other of John Bunyan's writings have stood out over the centuries, several which are these: Memoirs of John Bunyan, The Strait Gate, A Holy Life-The Beauty of Christianity, The Life and Death of Mr. Badman, Bunyan's Prison Meditations, and Bunyan's Dying Sayings.
One thing you will quickly find with John Bunyan's writings are that he does not mince words. His observations and exhortations are as filled with unction and holy zeal as any that have ever been written. As thoroughly familiar with the Bible as any has ever been, John Bunyan does not hesitate in showing you the right way and exposing the wrong. If you would be helped in your spiritual journey, you would do well to listen and take heed to his pronouncements. If not, he will be free from your blood, as he has not hesitated to as earnestly and completely reveal to your eyes the whole of living for God in this sin and devil cursed world.
