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There are two things you need to play Interactive Fiction:
(1) A game file (see the IF games page, for example).
(2) An interpreter.
The simplest way to search for games and get the appropriate interpreter is probably via the Interactive Fiction Database; clear instructions for new players are included. For other alternatives, continue reading ...
There are many hundreds of games available at the IF Archive. The most convenient way to explore the archive is via Baf’s guide, which contains a brief description of each game, along with a link to the game file so you can download it. You might want to look at the highest rated games first, or look through the genres of IF (there is another list of games by genre at the IF Wiki).
(Some famous IF games are also listed elsewhere on this site).
Each game ends with an extension such as .z5 or .gam. This tells you the format of the game; you will need to download the appropriate interpreter to play it.
Here is a list of formats and the interpreters you need to play them.
This guide provides links to some games and interpreters together on the same page (although it has probably been superseded now by the Interactive Fiction Database).
And if you are using a PC with Windows, here are some very detailed instructions on getting started, along with a few good game recommendations.
The extension indicates which “authoring system” was used to write the game. The most common is probably Inform, which uses extensions starting with z (for “Zcode”) like .z5 or .z8, as well as .ulx (for “glulx,” an alternative to Zcode which can use graphics and sound). These are sometimes contained in a “blorb” archive with extension .blb, .zblorb or similar.
Another commonly used authoring system is TADS, which has two main versions — TADS 2, which produces .gam files, and TADS 3, which creates .t3 files. Fortunately, both of these can be read by the same interpreter.
See the interpreters page mentioned above for some other common game extensions.