It really depends what level you are currently working at.Generally speaking, the 1st and third sonatas are the most approachable to start with (they're also the shortest of them all).Good luck!
+1 @ ^I would also start w the first given choice in 1 vs. 3rd. The first is decidedly more "romantic" in approach and can serve as an easing in to Sergei's More modern language later on. Interpretation wise I feel no 1 can provide some new stimulus while still letting you encounter much you will be familiar with can can work through fairly easily.Good luck.Have you also perhaps thought to work a Prokofiev etude? Think that can help you along some here as well . Op2 no1 in d min would be something in Prokofiev 's. More decidedly romantic lean here as well. Heck it may make sense to work trough first given not just where it lies in his compositional output timeline but it's short too so can serve as a decent appetizer to the main course sonata The others are cools too. I just like this one tons cause it sounds like video game music. could be a theme from castlevania. Totally