There are so many of these characters that I've known in passing or via their movie adaptations that I don't even know where to begin reading.
And that's coming from someone who's (somewhat) in the know! I can't imagine how it looks from the outside. I try to imagine these poor souls going into a comic book shop and saying "So, um, which comic was the movie based on?" and getting laughed at. And with Hellboy, that's a lot of people, including yours truly.
That's why I love the guys at ComicMix -- they know their superhero stories, and they're eager to share them. You can go there, quietly print their lists up, and take them to Amazon.com without needing to talk to a single judgmental soul. Now, to coincide with the release of Hellboy II: The Golden Army, they've put together a best of Hellboy list for those unfamiliar with his comic incarnation. And I know after you've seen the movie, you're going to want to pick up Seed of Destruction and The Corpse. They sound like the perfect beach reading to me!
[Thanks to Rick Marshall, who always keeps us in the loop]