Yesterday, a reader asked me to recommend a publisher or text for Shakespeare's plays. My short answer was, "I like the Arden series," but the real answer is: It depends.
Question one: Do you want a massive "Complete Works of Shakespeare" text, or do you prefer individual plays? The complete works typically include the sonnets and other poems, so you get a bit more for your money. But, logistically speaking, they're difficult to read and too heavy to pop into your purse. The paper tends to be thin, which doesn't work well for people who like to highlight, underline and make notes.
If you do want a complete Shakespeare tome, opt for the gold-standard Riverside Shakespeare ($100 from Amazon) or the cheaper Arden paperback ($26).
Looking for individual plays? Again, it's a matter of preference. In college, I used both the Signet Classic versions ($5) and the Arden versions (third series, $7-15), and I strongly prefer the Arden plays. For me, it's less about the supplementary material and more about the book's construction; the Arden plays have glossier paper that holds up better to my copious note-making. This is, incidentally, why I can't recommend the Norton Critical Editions; the bindings are terrible.
The Folger Shakespeare Library has also issued a series of the plays. I don't have any, but they're probably worth checking out (and they're a bit cheaper, too).
Don't have a single penny to spare? Try one of the free online Shakespeare collections, such as this one offered by MIT. I'd rather gouge my eyes out than try to read an entire play online, but it's not a bad option if you need, say, Venus and Adonis.