Upanishads predominantly occur in the last portion of the Vedas and are therefore, also referred to as, Vedanta. The central theme of all the Upanishads is the same, viz., the underlying oneness of Beings and the Lord. Further, the Upanishads also reveal to us - the qualifications that a student needs to have in order to receive this knowledge; the qualifications essential for a teacher imparting this knowledge; the nature of Liberation; how the world is apparent in nature; and so on. Each Upanishad explains these in its own unique way. Upanishads, thus, form the philosophical portion of the Vedas. They are, in general, in the form of a dialogue between a teacher and a student.
One may begin the study of the Upanishads from the Mundaka Upanishad as it is in this Upanishad that the teachings are given in a systematic manner.
Accompanying text for Mundaka Upanishad is available for download.
The entire collection of Swamiji's talks is available at the Poornalayam website.