Unless I'm buying an album because it has a specific song on it, I generally start with the album that whatever authority I'm consulting (usually the Oracle) considers "the best"
I do this most of the time. The way I figure it, I can generally tell from one album if it's worth it to go through the rest of the band's catalogue. If not, then at least the album I own is the one album worth owning.
...Though sometimes I'll start with a band's more extreme/idiosyncratic releases, if it's something that's closer to my own tastes than said artist's general sound. For example, the first David Bowie album I got was
Outside because I was more into industrial than glam rock. The only Lou Reed album I own is
Metal Machine Music. And since I'm not familiar with jazz in general, I chose
Pangaea as the first Miles Davis album in my collection.