I was recently asked by a dear friend about reading D. Martyn Lloyd-Jones, where to begin and what to read. The advice that follows is, of course, to some degree, subjective, but I trust I hit all of the major things.
For brief overviews of the life of D. Martyn Lloyd-Jones, read J. I. Packer, “David Martyn Lloyd-Jones” in Charles Turner, ed., Chosen Vessels. Portraits of Ten Outstanding Christian Men (Ann Arbor, Michigan: Servant Publications, 1985), 109–123; D. Eryl Davies, “Dr D. Martyn Lloyd-Jones: An Introduction”, Themelios, 25, No.1 (November 1999), 39–53; and Leigh B. Powell, “Dr. D. Martyn Lloyd-Jones (1899–1981): A Personal Appreciation”, Eusebeia, 7 (Spring 2007), 15–37 (this entire issues was devoted to Lloyd-Jones).
The definitive life of Lloyd-Jones are the two volumes by Iain H. Murray: David Martyn Lloyd-Jones. The First Forty Years 1899-1939 (Edinburgh: The Banner of Truth Trust, 1982) and David Martyn Lloyd-Jones. The Fight of Faith 1939-1981 (Edinburgh: The Banner of Truth Trust, 1990). His wife, Bethan Lloyd-Jones, also has a delightful small memoir of his first ministry in Wales: Memories of Sandfields, 1927-1938 (Edinburgh: The Banner of Trust Trust, 1983). Also see the little piece by his daughter and son-in-law: Frederick and Elizabeth Catherwood, Martyn Lloyd-Jones: The Man and His Books (Bryntirion, Bridgend, Mid Glamorgan: Evangelical Library of Wales/London: Evangelical Library, 1982).
As for reading the works of Lloyd-Jones, I would begin with some of his smaller addresses found in Knowing the Times. Addresses Delivered on Various Occasions 1942-1977 (Edinburgh: The Banner of Truth Trust, 1989) or Unity in truth. Addresses given by Dr D. Martyn Lloyd-Jones at meetings held under the auspices of the British Evangelical Council, ed. Hywel R. Jones (Darlington, Co. Durham: Evangelical Press, 1991). A personal favourite of mine is his The Puritans: Their Origins and Successors (Edinburgh: The Banner of Truth Trust, 1987), his lectures on matters and figures historical at the Puritan Studies and Westminster Conferences. There is also a fascinating collection of papers in Healing and the Scriptures (1987 ed.; repr. Nashville, Tennessee: Thomas Nelson Publishers, 1988) that reflects his ongoing interest in medicine (before becoming a minister of the gospel he was a medical doctor).
There are, of course, his sermon collections on Romans, Ephesians, 2 Peter, 1 John, Acts, and now, various Psalms. I have read much of his teaching on the work of the Holy Spirit, which stirred up no small controversy, in hisJoy Unspeakable (Wheaton, Illinois: Harold Shaw Publishers, 1985) and The Sovereign Spirit. Discerning His Gifts (Wheaton, Illinois: Harold Shaw Publishers, 1985). For further on his pneumatology, see Michael A. Eaton, Baptism with the Spirit. The teaching of Dr Martyn Lloyd-Jones (Leicester: Inter-Varsity Press, 1989) and R. B. Lanning, “Dr Lloyd-Jones and the Baptism with the Holy Spirit”, The Banner of Truth, 271 (April 1986), 1-15.
Finally, there is that classic study of pastoral ministry, which I would recommend to all aspiring pastors: Preaching and Preachers (Grand Rapids: Zondervan, 1971). For a brief overview of his works, see Martin Downes, “Review Article: Select Works of Dr D. Martyn Lloyd-Jones”, Themelios, 25, No.1 (November 1999), 54-59.