I got into Zorn through Peter Blegvad - I was a big Blegvad/Slapp Happy fan and that led to the first Golden Palominos album and Locus Solus. I would recommend that first Palominos record to anyone who is new to that whole 'Downtown' music scene, as just about all the primary players are represented there, I think, and Zorn does some nice work.
Locus Solus is a great intro to the improvisational side of Zorn's music, as the songs are short and relatively accessible and feature multiple trios to keep things interesting. You get some nice post-DNA work from Arto Lindsay and the Zorn-Blegvad-Christian Marclay trio is just plain awesome.
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