White Light/White Heat is awesome, particularly if you liked the louder/noisier/more experimental tracks. I am pretty fond of the third album, but unless you want songs that are (for the most part) even quieter than the first albums quietest moments, you probably will want to save it for last. It took a while for me to get into it (except for the Murder Mystery, which I fell in love with immediately), particularly after White Light/White Heat.
Other option: you could get the Live 1969 albums. Pretty awesome, and the sound quality's as good as anyone could have expected. I wouldn't recommend Max's Kansas City due to the worse sound quality and the absence of Moe Tucker, but it's worth picking up at some point. The Quine Tapes are the best in performance quality if you ask me, but the sound quality sucks, so I'd wait until you've got some more stuff (live and/or studio) until you get it. But do get it, because it's really great once you get past the bad sound quality.
Final option: if you have the money, either sell the first album or give it to a friend, and then buy the box set. I haven't heard the extras myself, but they're supposedly really good.