I would probably start with Safe As Milk. I never got into anything after Lick My Decals Off Baby. I think working in a steady progression through his musical career is a good way to go about it. I love Trout Mask Replica: definitely a high point. It'll take a few listens, but when it clicks it's amazing.
can't go wrong:
http://en.wikipedia.org/wiki/Captain_Beefheart