This recommendation comes first from the fact that it is fairly short (my edition is 170 pages of verse, so there is lots of white space on those 170 pages) and easy to read--poetry just goes faster than prose, at least for me. There are no dense passages and super-long sentences to get bogged down in.
Also because it gives you a very clear idea of how Chesterton goes about writing his fiction. As he says in the Prefatory Note:
I have summarised this first crusade in a triple symbol, and given to a fictious Roman, Celt, and Saxon, a part in the glory of Ethandune. I fancy that in fact Alfred's Wessex was of very mixed bloods.
Chesterton goes on to give his reason, but this post is not concerned with that so much as with his method. He is not overly concerned with making his characters "realistic." Rather, each character is a representative of something bigger--in this case, the contributions which the various races made to Christian Britain at the time of King Alfred. Yet at the same time he allows them room to have faces and names and personalities.
Since reading the Ballad, I've read (among a few other things) The Napoleon of Notting Hill, Manalive, and The Ball and the Cross. I think having read the Ballad first was good for me because I expected the characters in his other fiction works to be like the characters in the Ballad, and I was not disappointed. Michael Moon is like a 20th-century version of Colan, and so greatly delighted me.
But I think Michael Moon and his compatriots puzzle some people for the precise reason that Michael is a 20th-century version of Colan. He is not meant to be the kind of person you would necessarily meet on the street in England. He is meant to be an archetype of something else. Since it would be a bit of guesswork to assign archetypes to the characters in Manalive, I'll switch gears a bit: Evan McIan is also like a 20th-century version of Colan, and he very clearly represents Faith, battling with Reason (Turnbull). The eventual outcome of the struggle between Faith and Reason I will not reveal; read the book. (I read it over the course of 2 days; it's not hard to get through.)
If it seems at times that the characters are mouthpieces for Chesterton's philosophy, it's because they are. Chesterton is completely and utterly unconcerned with the fact that he has characters who have been established as uneducated giving long philosophical speeches. So, why write fiction at all if you're more concerned about your philosophy than your characters?
Well, because you have people like me, who despite my undying love for Chesterton, cannot get through books like Orthodoxy. I read, I laugh, I walk away in utter incomprehension. When it comes to Chesterton's fiction, though, I read, I laugh, I walk away with symbols and concepts slowly working their way into meaningful positions in my brain.
And, quite honestly, they're just plain fun stories. Maybe they are a little bit like fairy-tales with their clear-cut characters, but who doesn't secretly (or openly, if you're like me) enjoy a good fairy-tale now and again?
Updated (pre-publication) to add: Recently I started rereading Heretics and am happy to report that I actually get it; much better than I did when I was 16 and reading it for the first time. I've absorbed enough of Chesterton's thought, I think, that I can get my mind into the shape of his ideas now. I still haven't retried Orthodoxy, though.