Worth getting:
Fire of Love
Miami
Las Vegas Story
Mother Juno
Pastoral Hide and Seek
For a later period compilation: In Exile (combines much of Mother Juno & Pastoral Hide and Seek)
Lucky Jim and Divinity I haven't heard.
Early Warning is a collection of early live stuff, demoes and home recordings which is interesting but not essential.
Death Party (the re-release on Sympathy) is so-so.
Jeffrey Lee Pierce's solo albums, Wildweed and Ramblin Jeffrey Lee, are, again, interesting but non-essential.
Most of live stuff that's available sounds like it was recorded through several pairs of socks. Ahmed's Wild Dream (from 1991/1992) is good quality though, but it's hardly vintage-era.
Avoid the live videos of Gun Club like the plague. Not only do they sound like they were recorded through several pairs of socks, they look like it too.
Gun Club site
Gun Club on myspace