Just got into this band.

Album wise i'd go for Last Fair Deal Gone Down or The Great Cold Distance. I think those 2 albums, even though they are a few years apart, are a great summation of the band's sound and style.
 
the black sessions is by far the best starter. I heard Last fair deal gone down, first and i enjoyed it beyond all human comprehension, so i picked up the black sessions(2cd/1dvd compliation). and then i went from there, purchasing all the cds at once, but being more excited for ones that had songs i heard on BS that i liked the most.