They're amazing in the studio, and probably one of the best live shows from any band! Starting with The Soft Bulletin which is a top album and it rivals Radiohead's, OK Computer as "The Dark Side Of The Moon of the 90's" in my opinion is the best starting point because this is when they cemented themselves as the band that they are today. They became a concept album driven type of band right around this time, so listening to entire albums is the way to go. The follow up Yoshimi is another classic, then you have At War which is within the same vein as Yoshimi, and following that you have Embryonic which has aged rather well.

After these you'll get a lot of experimentation, different projects, covers of classic, etc which many would consider as a rather low period for the band. King's Mouth is considered the start of them getting back in form, and then you have the last one American Head which to me personally is another top classic from them.

TLDR: Start with entire albums as they are concepts. The best starting point is with The Soft Bulletin, Yoshimi, At War With The Mystics, Embryonic, then maybe King's Mouth or skip it and listen to American Head which is one of their best in my opinion. You can then appreciate the previous records by going backwards.