Yep Thin Red Line is my favourite by him, superb film. Knight of Cups is definitely not the most accessible one to start off with for Malick's stuff
@Berbaclass but if you thought it was good, you should check out his other films. Days of Heaven and Badlands were fantastic debut films, then Thin Red Line which is up there with the best films about war, and New World is excellent and fairly accessible. Tree of Life is in the same vein as Knight of Cups, not an easy viewing without at least some background for his work, but you'll love it or hate it.
To the Wonder, the film he made in between Tree of Life and Knight of Cups is a completely forgettable effort though, you can skip it. Completely hollow film.