I fucking love this band to no end. They're one of those 'special' bands to me. You know the kind: the feeling goes beyond just 'loving' the band, and is more a feeling of connection, that your life wouldn't quite be right without them.
I feel that 'Tyranny' is the best place to start, then either 'Carved in Stone' or 'Room V'. I feel 'Legacy' is their weakest album, but don't avoid it. There is some gold on there. 'Shadow Gallery' is a horribly underrated album. It contains some of their best ever material, and deserves a place in your collection. 'Digital Ghosts' is great, but the sad fact that Brian Ashland isn't Mike Baker takes away some of the Shadow-Galleryness, to me. It's still definitely them though, and it's still definitely excellent.
God, I wish I wasn't at work right now. I might have to run out to my car just to listen to 'Christmas Day' real quick. Seriously, the combo of 'Ghost of a Chance' and 'Christmas Day' makes for one of the most amazing closings to an album that I've ever heard. It gives me chills; it moves me to tears; it's part of my soul. This all may seem rather hyperbolic, but I really do feel that strongly about this band.
So, in closing: should you get all of their albums? Do you like breathing air?