We have started with the Chronicles of Narnia.
Nate struggled slightly with The Magician's Nephew or at least he looked bored but after every chapter I'd ask one or two questions about what we'd just read and he'd answer them. Every night as it approached bedtime he'd ask for the story so he was obviously enjoying the book.
We have recently moved on to The Lion, the Witch and the Wardrobe.
Every night he has wanted another chapter and before he settles down to read he tells me about what has happened previously in the book.
I found that letting Nate choose one picture book to read before the chapter helped him settle into listening to the chapter. We also chose a book which contained pictures so that once in a while there was something for his eyes to focus on instead of looking around the room. This also helps with the transition from reading being a very visual experience with a little listening to reading becoming a listening experience.
Most importantly it's something we both enjoy.