There is not a single Overkill album that is not worth buying, and I'm pretty sure that's the ONLY band woth more than five or so albums that I can say that about. Even Priest had Point of Entry and Demolition. So you might as well buy 'em in order, starting with Feel the Fire; if you'd rather just get a good representation, get the Wrecking Everything live album.
Start with Exodus's Bonded By Blood, as it's one of the most important and awesome albums ever. The other ones J-P mentioned are also worth buying, as well as the live album Another Lesson In Violence.
Testament is annoyingly inconsistent, especially considering how incredibly awesome they are when they're good. First Strike Still Deadly, the re-recording of their first two albums, is a good buy, and Low (despite a very different sound) is utterly awesome.
With Iced Earth, you want the first three albums (especially the utterly awesome Burnt Offerings), Days of Purgatory, and the live album (three-disc recommended.) Fuck everything else...maybe Horror Show, but you're better off just downloading it and keeping the worthwhile tracks like "Dracula."
Nothing Slayer did after Seasons is worthwhile.
