About Van der Graaf Generator, I started at the beginning with their "H to He, Who Am the Only One" album... There was a great review on Prog Archives that made me listen. I knew I liked it, but wasn't sure why. Ha. I went back to it a couple times. By the time I knew most of the lyrics to Killer (3rd run around) I was hooked. Their other highly praised album was Pawn Hearts - amazing as well.
About The Bad Plus, I suggest the song "And Here We Test Our Powers of Observation" on Give and then "The Empire Strikes Backwards" on Suspicious Activity. That shows a good sample of their range. They also have covered (read: redone in free jazz) about ten songs from Tom Sawyer (Rush) to Barracuda (Heart). Great collection (5 albums and a live). Check that out if you'd like.