My pick for the best of the Collected Works, edging out the Riverside, and much better than the Oxford and Arden. (Although the Arden individual plays are essential.) Bevington's book has everything you'll need: concise, but informative introductions, emendation notes, and most importantly very good glosserial notes. The pages are not tissue-thin and the type is not too small.
Only complaint is the exclusion of The Two Noble Kinsmen. The play may be more Fletcher's than Shakespeare's, but the work is superior to Henry VIII--their other likely collaboration, which I think is also more Fletcher's work, too. That may be a minority opinion, but both plays belong in a Collected Works, so others can decide for themselves.
As for Shakespeare's works themselves many people don't know where to go after reading the biggies. Check out Cymbeline, Measure For Measure and Troilus and Cressida if you're looking for some vastly underrated plays that aren't performed nearly enough.