I'd start with his Island records from the 80s. Swordfishtrombones is my favorite of the bunch, but Rain Dogs is usually seen as the classic. Franks Wild Years is also good, and Big Time is a live album drawing from all three of these.
Of his 90s stuff, Mule Variations and Bone Machine are solid.
Of his 70s records, The Heart of Saturday Night is a nice record, but it's when he was more of a Bukowski-ish singer-songwriter, so sounds nothing like the clanky gutteral found-sounds music he's making now.
Beyond one track, I haven't heard the new 3CD set but I've heard it's very tough to get into.