If I had had a choice I would have started with
Space Is the Place, but that's just me
and also
Heliocentric Worlds of Sun Ra from the 60's, there are two volumes to that and I can't remember which album is better.
edit: t
his one
but they are two of the more well-known and high-fidelity recordings (my favourite album sounds like it was recorded with the huge band crammed into a stuffy basement).... And they are representative of his avant-garde sound whilst still having a slightly accessible jazz edge to ease you into his world. I think