Having everything he has ever released (I am a proud groupie of Mr. Mould and have been since high school), I'll tell you the must-haves (and other die-hard fans would toatlly disagree with this, but screw them):
1) Sugar -- Copper Blue
2) Sugar -- Beaster (very loud, very angry)
3) solo -- Black Sheets of Rain (very dark)
4) You can safely get everything Husker Du did, except for Land Speed Record. Get Candy Apple Grey last. Start off with Flip Your Wig or New Day Rising. Zen Arcade should be up there of course. (One of my personal favorites is Warehouse: Songs and Stories. It's far more complex than people give it credit for, and it's one of those albums that will sink in months later and stay with you for years and years.)
From there you can pick up the self-titled 1996 solo LP, Workbook, and Sugar's File Under Easy Listening. Besides (from Sugar) has some good moments, Poison Years (solo) is only worth it for some decent live tracks. I was not that fond of the Last Dog and Pony Show, so you can skip over that one. Modulate is a good record, but only for the patient and only after you have picked up the other stuff. I also have a soft spot in my heart for his Loudbomb LP, Long Playing Grooves.