Torture Garden almost doesn't count as it is really just a compilation of the most obnoxious tracks from Naked City and Grand Guignol albums. Both of those albums, taken in their original form, work better than Torture Garden, I think, because you get a better mix of styles and Naked City was all about mixing different styles. All of the other Naked City albums - Absinthe, Radio and Heretic, are also just excellent.
For Masada, it would be really hard to pick any one of the official 10 Masada albums and say one is better than the others but I think taken as a whole, they represent the strongest Masada output; better than any of their subsequent Tzadik releases.
If you want another good intro to Zorn, try 'The Dreamers', an excellent straight Jazz album! I believe this is also a comp of more recent work, designed for maximum accessibility.
