Martin Scorsese loved Infernal Affairs so much that he essentially copied it and made The Departed. Leonardo Dicaprio played Tony Leung's character.
Tony won Best Actor for In the mood for Love at the Cannes Film festival. Please note: both In the Mood for Love and Chungking Express are very artsy films... beautiful cinematography and mood. It may not be for everyone but really appeal to movie buffs.
I would start with Infernal Affairs. Action driven, gripping.... There are crime movies he starred in if you end up liking it. Hard Boiled, City of Sadness.
Tony Leung has a ton of range, he has starred in action, romance, comedy, art pieces... very well rounded. It's about time he got some recognition in the US.