Get bang for your buck if you don't have any of their stuff. I highly recommend the box set, with 4 packed CD's with all their best stuff over the course of their career. Guaranteed that most of the stuff they play live will be on this set, plus a lot of other cool tunes.
If you want just a single album, get "No Remorse" (1984), which is basically a greatest hits/b-sides compilation from early in their career, or "The Best of Motorhead" double CD released in 2000 in fairly comprehensive.
Of course, if all you want is a taste, with some Anthrax thrown in for good measure, pick up the "Airheads" soundtrack, where Motorhead has a cool tune called "Born to Raise Hell" (with extra vocals by Whitfield Crane and Ice T), not to mention the very cool Thrax cover of "London". There's a couple other decent tracks on there, making it a worthwhile purchase.