The Border Trilogy is really worth finishing; now that you are done with
All the Pretty Horses, I recommend moving on to
The Crossing, followed by
Cities of the Plain.
Blood Meridian, I cannot urge you enough to have that on your list though. One of the books I've read three times already and will so again and again. The strongest of all I've read by him I feel.
Suttree is fantastic, fantastic as well, if you are looking for further Cormac McCarthy material.
Then, one more book of his I have read so far is
The Road. You are probably recognizing a pattern now: another great title :)
EDIT:
Almost forgot two of his plays I've read,
The Sunset Limited (interesting) and
The Counselor (bland, generic,
not a recommendation).