Ok, well you can't go too far wrong working backwards through the collection, but there are a couple of stumbling points which I'll mention:
2001
Recordings (3.5/5) - B-sides collection from the Lightbulb Sun/Stupid Dream-era stuff. A good solid collection of material, slightly overrated by the PT fans, although does contain a couple of real gems (Buying New Soul being the main one). Ltd Edition of 20,000 and pretty hard to find. There has been talk of a possible re-issue in a different format, but no word on anything recently.
2000
Lightbulb Sun (4/5) - Indie/prog-style album, not as heavy as the latter albums already mentioned. Unfortunately out of print, and be wary of picking it up on Ebay as there are some counterfeits floating about. Set to be re-issued late 2006/early 2007.
1999
Stupid Dream (4.5/5) - One of my favourites, a definite acousticy/indie Bends-era Radiohead vibe. Some stunning songs! Has been out of print for a while, but just been made available at
www.burningshed.co.uk as a CD/DVD-A set. To be issued more widely as a single-disc cd later in the year.
1996
Signify (4/5) - Dark, psychadelic feel to this album. Great moody record, contains some classics (Waiting, Dark Matter). Recently (2003/2004) remastered and sounds great.
1995
The Sky Moves Sideways (3/5) - Big Pink Floyd influence here, none moreso than the 2-part title track which takes more than a slight nudge from 'Shine On You Crazy Diamond'. Not bad, though I don't find myself going back to this one as certain others.
1994
Up The Downstair (4/5) - Often underrated, it was Steve Wilson on his own back in 1994 but was remixed and remastered with real drums last year I believe and it makes a real difference. Psychadelic with an electronic vibe, this is one of the jewels of the back catalogue for me.
There are some other albums which I don't care much for (Metanoia - a big jam-session, On The Sunday Of Life - first album, weird and not very cohesive, Voyage 34 - big experimental, psychadelic instrumental jams). There are a couple of good live albums aswell, but I'd familiarise yourself with the studio material before getting into those. However, if you struggle to find Lightbulb Sun, the live album Warszawa is fairly widely available and contains alot of material from that record.
Hope this helps.