My favourite Zappa albums are Apostrophe('), Overnight Sensation, Joe's Garage and Baby Snakes, which is a live album and there's a DVD available which is AWESOME...he has such a great band on that DVD including Adrian Belew and Terry Bozzio!
But like apprentice said, there's so many sides to Zappa, it all depends what you're in the mood for. Proggy psychadelic rock? Freaked out Jazz? Psycho Orchestral?
A lot of his music is humorous and/or satirical and he had a lot to say about the music industry, censorship, politics and all sorts. You can delve pretty deep into the world of FZ if you want to.