Buy the following albums:
Jester Race
Whoracle
Colony
Clayman
They all rule, but Whoracle is my personal favourite. I'm not that big a fan of their pre-Jester Race stuff (Subterranean and Lunar Strain), and their live album, The Tokyo Showdown, is a bit dodgy production-wise. Those albums mentioned up there are all must-haves, though.
Oh, and add "Ordinary Story" to your Audio Galaxy list - it's my personal favourite song of theirs, and probably their most accessible.