Are you going to see them live? If that is the case and you want to be familiar with the songs they will most likely play you should grab Eskimo Snow (the latest), Alopecia (my favourite), and Elephant Eyelash (the album where Why? became a band and integrated more non-hip-hop elements). If you find you like those and seeing them live has converted you into a big fan, go back and visit the earlier albums where it was just Yoni.
If you want to dig a littler deeper, you could grab the Hymie's Basement album which is a collaboration between Yoni and Fog. You might also like the band Hood, who are awesome in their own right but also relevant to this post because collaborated with Why? (and Doseone) on their 2001 album Cold House.
I feel like I should elaborate about Eskimo Snow. Even though that is the album most of the live material will come from, I probably wouldn't start with that album. It is a bit of a headscratcher for anyone who has read anything about Why? because it is pretty much not a hip hop album at all. Maybe in spirit, if you will allow me to say such a silly thing. I would get Alopecia and Elephant Eyelash which are closer to what most people think of when they think Why?. Let those two really sink in and then move on to Eskimo Snow which is a surprising and rewarding album.
The most important piece of advice I can give you is pay attention to the lyrics. Yoni Wolf is a truly brilliant lyricist. I think every single Why? song has at least a few gems in it. Some of them, like "Good Friday", are basically 100% gems. Listening to the albums on headphones is probably a good idea. There is a lot going on in these songs and I am a pretty big fan of paying attention to the small details.