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It's like they took bits and pieces of all the religions and myths and stuff and mish-mashed them all together. Does that make any sense?

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of course it does - in the Hellblazer world, that is.
John Constantine of the comics is a magus; one who deals with the underground current that flows through every religion and myth, from times forgotten, before the world was created... The movie rewrote him as an exorcist, probably to appeal to a wider American audience, but Constantine is much more than just that.
And then, each writer brought to the comics their own pet theories ;) Jamie Delano has a certain style, Garth Ennis another, Mike Carey goes back to Delano's demonology and mythology, Brian Azzarello brings Constantine back on earth and most important, on American territory...
Reading the whole collection is quite a journey in the history of religions and myths, indeed. But there is a silver thread running through all of it. Follow it and you'll be fine. I guess... ;) :D

Original Sins
The Devil You Know
The Fear Machine
The Family Man
Rare Cuts
Dangerous Habits

Oh, I've also got the trade paperback adaptation of the movie, but I don't think that counts.

I figure I'll get the graphic novel/trade paperback collections and then go about collecting the others. Having learned from my mom's Batman collecting, it's somewhat easier that way - and it also saves space. I've got the list of all the collections, but do you have any recommendations as to which I should get next? You've obviously got the experience.

IF you want to keep reading chronologically, then I'd say get the other Garth Ennis series : 'Fear and Loathing', 'Tainted Love', 'Damnation's Flame', 'Rake at the Gates of Hell', 'Son of Man'...

BUT most of all I'd recommend a 'stand-alone' Hellblazer graphic novel, and that's Mike Carey's "All His Engines". In Neil Gaiman's own words “ Mike Carey has written the quintessential Constantine story. If you want to know what the fuss is really about, you should read this book "
Gaiman would know, he wrote a few Hellblazer issues himself ;) :D

And I also recommend Jamie Delano's current return to writing John Constantine, with his graphic novel 'Pandemonium'. Also a 'stand-alone' novel, but it's got that special Delano touch on Hellblazer.
And in the same note, there's a two issues special edition of Hellblazer, 'The Horrorist', written by the same Jamie Delano... it's sad, unsettling, weird, and yet I like it.

IF you want to sample the styles of each writer, then I'd say try Warren Ellis' 'Haunted' and 'Setting Sun', Azzarello's 'Freezes Over' and 'Good Intentions'. Denise Mina's "Empathy is the Enemy' and 'Red Right Hand', Jenkins' 'Last Man Standing' and 'How to Play with Fire'... Carey's "All His Engines" (ABSOLUTELY XD) ,'Staring at the Wall', 'Stations of the Cross' , 'Down in the Ground Where The Dead Men Go' ...

I'm not much help, am I ? XD XD

All His Engines is 126 pages long. :(

Most are only about 6-7 pages long.