Aaron, we had a great critical seminar on Merrill a few years back at West Chester and some of the papers were later published in Contemporary Poetry Review. Here's a link to my introduction to the various essays (each one dealing with a single poem):
http://www.cprw.com/james-merrill-sp...n-introduction
If you want me to point to just one poem, I would suggest "Investiture at Cecconi's", and I would also recommend you read Moira Egan's essay on it.
Another personal favourite, a poem I have frequently taught, is "Lost in Translation". I find students are at first baffled, but intrigued; but after careful study and after taking in some explanatory background material they are usually won over. Merrill is not an easy poet and to a certain extent he requires you to enter his world. Once you do so, it can be very rewarding. I find that poem endlessly fascinating.
I agree that
The Changing Light at Sandover is often tedious, not to say daft, but the first section of it (
The Book of Ephraim is a masterpiece. Anyway, you can get my take on Merrill as a whole in the article I've linked to above.