The two albums most similar to 'The Great Annihilator' are 'Love of Life' and 'White Light from the Mouth of Infinity'. They are sort of companion CDs, although they were written and recorded seperately. Have fun finding them for less than $25 per CD. You could also look into the dirtier, but still majestic, 'Children of God'. It is considered the CLASSIC Swans album.
There is also a 2 CD thing called 'Various Failures'. It contains songs from 'Love of Life', 'White Light . . .', and 'Children of God'. Some of the songs are slightly different (better) versions of the originals. I have a copy of 'Various Failures' signed by Michael Gira.