Start with Dirty Mind, his first truly ‘classic’ album and a glorious riot of fun and filth.
You can’t go wrong with anything in this sequence:
Dirty Mind
Controversy
1999
Purple Rain
Around the World in a Day
Parade
Sign O The Times
Classics all and one of the great sequences of albums ever. It’s fun to listen to them in order, because the sound of him expanding and developing album by album is one of the most thrilling things in music ever.