As you say, he's written tons. The hardest thing about recommending anything is that most of his novels are just episodes of far bigger stories. His most interesting concept is that of of the 'eternal champion' (a person with multiple identities who exists in multiple universes) but it's an idea that stretches across most of his books (some SF, some Fantasy, some 'historical') so it's hard to really pinpoint a single key novel to get the idea in full. If I were to start though, you can't go wrong with The Eternal Champion novel, and then decide from there if you want to persevere with the rest of it.
Note that's the novel, not one of the omnibus editions using the same name which will include the original novel (depending on the volume you get) but also other stories in the series.
You could literally spend a lifetime navigating your way through the various combinations of his multiverse books (which total around 60 novels or about 15 omnibus editions) and still never settle on a final 'definitive' sequence. There's even debate as to whether the omnibus volumes are in the 'right' order, not helped by the fact there's more than one series of them, from different publishers that put the novels in different order.
Here's some indication of just how daunting it all is:
http://www.multiverse.org/wiki/index...mpion_(series)
Moorcock touches on steam punk a lot but I can't think of a single book where it plays a major role. It's more just another part of his overall 'multiverse' thing.