Of the things he has written under his own name, most of what he has written falls into one of two groups.
First is the recent "To Hell and Back" trilogy about a high functioning autistic actuary who ends up accidentally summoning the devil and fights crime with a demon sidekick. It's actually a lot more profound than that description sounds, but not at all like Vance.
Everything else takes place in a setting referred to as The Archonate. This is a typical Vancian space opera setting, with the twist that the universe cycles between rationalism and sympathetic association (ie magic) and is on the cusp of the change between the former and the latter.
If you are more interested in the fantasy elements, I would recommend the stories featuring Hengis Hapthorne, a detective who finds himself involved in some of the events leading to the new age. I started with the
Majestrum / The Spiral Labyrinth / Hespira cycle.
There are also the stories written around Luff Imbry, a forger/smuggler/art thief. I've read one or two short stories concerning his adventures, I believe
The Meaning of Luff is a compilation of these. Also
The Other.
The only book of his that I didn't like was one called
Black Brillion. This book and
The Commons tell the same story from the viewpoints of different characters. If I had known that going in, I would have had a different perspective on the book.