I'd recommend getting the 2CD "Anthology" on Rhino, and then the "Head" soundtrack, which is by far the most psychedelic thing they ever did. Their back catalogue is laden with classic songs - not all of which get included on single-disc compilations - but the individual albums do tend to have quite a lot of filler on them, (which is hardly surprising, given that they released two or three per year at the same time as filming episodes of the TV show.

I'd also recommend avoiding any of the re-union albums like the plague, especially the 1986 release "Pool It" which is truly, mind-numbingly awful. The same gies for any of Davy Jones' solo albums, but I'm sure you've probably guessed that already.