Students who study English at Cambridge take a paper (a module) on Shakespeare in their first or second year, but it can be daunting deciding where to begin with 37 plays and over a hundred poems to be getting on with!
You might like to start by looking back at what you’ve already covered. Maybe you've studied one of Shakespeare’s Tragedies at school (Macbeth, King Lear or Hamlet may be familiar?) or one the Comedies (Much Ado about Nothing or Twelfth Night?). You may even have studied a play that fits more problematically into both of or between these categories, such as The Tempest or The Merchant of Venice. Have you ever read some of Shakespeare's sonnets, or one of his longer poems such as Venus and Adonis? Have you ever read, or seen performed, one of the History plays?
David Morrissey's performance of the opening speech of Richard III might be a good place to start.