Congrats on getting an Atari 400, I love that computer. I think the very first thing that you should consider is a RAM upgrade. Best Electronics had a lot of the official Atari 48k boards for sale some years ago. I'm betting that they still have those, and they're really cheap - I think I paid $30 for mine. They are very easy to install, only requiring a few solder points. If you get a disk drive the memory upgrade is pretty much mandatory.

I can't type much now since I'm using my phone and it's a pain to type on, but some games I highly recommend are Miner 2049er, The Dreadnought Factor, Boulder Dash, and a bit of an oddity, Caverns Of Kafkha.