really depends on the band, honestly. there's no objective way to go through a discography, just pick out what you like and which resonates with you best. i find that some bands actually start off stronger with their earlier albums while other bands seem to get progressively better with their sound or sometimes even worse. i think the best way to get into a band in general is pick their most reputable/known album, and if you really like them, go from there.
I really liked At World's End, although I found it pretty hard to categorise...But I love the Frost/Pegg duo :) Ed in Shaun of the Dead is one of my favourite characters from a movie.