you can pick up Henry's spoken word stuff at two1361.com, the website of his publishing company. The earlier stuff is a little rough but worth the effort. I would say that anything from "The box life" onwards is a good place to start.
I have my tickets to see Henry at the Dominion in London on 13/04/03 - I promise you it'll be great. This will be about the fourth or fifth time I've seen him and he just gets better. It's more story telling than stand up - or maybe it's observational comedy taken to the nth degree. If you dig Bill Hicks, you should check out Henry. Don't get me wrong - Hicks was the master, but you can definitely see the link. Go on, do yourself a favour...